Right now you can do it in html version, for flash version we need some sort of plugins, could be done in 2.1 I think. Like:
[ load ]
http://youtube.com/video.flv[ load ]
Right now I can recommend you use sevice like
www.keepvid.com, download flv from youtube and add to your gallery, we support flv now, and it will be played just fine. In newer version you'll be able to use your own custom thumbnails for video files (which youtube generates for you too)