FileField + jQuery Media
Here is a fast lesson on one of the ways of hosting video on your own Drupal website. In order to understand this screencast the best you should have working knowledge of Drupal including the installation of contributed modules and exposure to the Content Construction Kit (CCK).
The Filefield and jQuery Media modules are a one-two knock out combination for allowing users to upload media files to fields in your custom content types and then playing back the media files in their matching player or handler. It represents a positive direction for treating fields containing files and is a great starting point for researching your own implementation of this recipe.
Produced with great guidance from Aaron Winborn, the jQuery Media guy. (And the Emfield guy, and the RPG guy, to name a few). Aaron is publishing a book, Drupal Multimedia, which talks about this recipe and many more.