Depends on what you are looking for:
If you embed the videos than they can't be changed, added, or deleted without an update to the application. Also this will make your application size very large, and people don't like apps that take up a lot of room on there device and this will prevent people who want to download you app over a data connection from doing so.
If you stream the video then this will require a internet connection anytime someone wants to view the video.
A third option is to download the videos at the request of the user and store them in the documents directory of the application. Once the video is downloaded the user will not need to have internet access to view the video later, but this will take up increasing room on the device.
My vote would be option 2, if you have the resources to do the streaming.