It's true that clicking on the video will take you to the YouTube page?but many pop-up blockers prevent the embedded Flash object from directing the browser to a new location, and certain sites (like MySpace) add a parameter which turns off the ability to go to another page (otherwise, spammers embed Flash objects that redirect you to garbage websites).

isn't that the default action anyway? I mean, once the video is running

You can just click on the video when it's embedded in a page and it'll take you straight to the proper youtube page.