That depends on where the video is. If it is on YouTube or Vimeo then just posting a link to the video (URL) is enough. Discourse will automatically detect it and display it for in-line viewing.
See this 
I just copy pasted the link https://www.youtube.com/watch?v=mzJmTCYmo9g
YouTube or similar service is best for videos that span more than few seconds
For very short (few seconds) videos, you can use animated gif.
Animated .GIF can be placed (copy/pasted or uploaded) as any other image (I did that in GuiButton()s - Hover detect) . @Milosz sometime ago posted link to useful freeware called ScreenToGif that can be used to produce animated gifs from screen recordings.