You can embed videos, music, documents and more by simply pasting its URL in the post editor. The WordPress embeds documentation has more info as well as full list of supported sites. Additional sites and services are also available in the Jetpack Shortcode Embeds module.

Now, for some examples.

YouTube

https://www.youtube.com/watch?v=dy9nwe9_xzw

Vimeo

http://vimeo.com/71070693

SoundCloud

https://soundcloud.com/hillsongmusic/only-you

Instagram

http://instagram.com/p/umfXocjCzy/