audio, video, and html code - too many choices

Now that I know several ways of posting audio or video, using html audio or video tag, or various ways to embed either audio or video, I can't really decide how it should be done. I suppose I could use various sources, doing a little of each method at different times. Is it best just to use YouTube or Vimeo to embed video? Should i always use html audio or video tag to do it? should I use an embed code? Which source am I most comfortable using?

These are all questions to be answered to if I wish to continue posting, but likely I'll still use this blog to practice whichever way is hardest for me to accomplish, and do what is easier on other blog spaces.