I have such things in the DNA Lounge weekly mailing, and some time recently (possibly with MacOS 10.8 or possibly earlier) the videos are showing up as an unclickable black box when viewed in Apple's Mail.app. If I embed them using the old-style embed way instead of the newfangled iframe way, then I get a gray box that says "Blocked Plug-in".
They don't seem to work on the iPhone mail reader either. The iframe way is unclickable, and the embed way shows the thumbnail but then when you click it, the Youtube player says "the operation could not be completed."
The question I am trying to answer is: is the number of people who are able to click play on a video embed in an HTML email message small enough that I should just stop embedding them at all?
I sure do love playing whack-a-mole to figure out what random parts of my messages the various "sanitizers" throw away. My favorite part is that you can't reliably use "margin" in your CSS. That's just great.