Because of a new YouTube feature, when you embed a video, your users can watch related videos on your site. This is, of course, risky for anyone who wants to be in control of the content of their site. (Wouldn't that be everyone?)That can be kind of scary if something "related" isn't exactly what you wanted to have other people see when at your site. Just the other night while at a Barnes & Noble looking at a magazine I saw where a seemingly orthodox preacher in New England somewhere (I think) was actually fired because of some links from his personal web site. It turns out that he had some links to some occult sites so that people could get information about certain groups. But from just a couple of clicks people at his site could order shirts, etc... from these groups. It appears that the church he was at saw this as something they didn't want visitors to their pastor's site to be able to do so easily.
If you want to, you can disable it by adding &rel=0 to the end of the video's URL when you embed it.
The moral is, along with the YouTube issue above, that you should probably be aware of what you're linking to and what people may perceive about you.
Now Playing: "Repentance" by Dream Theater