Take a look at the following documentation from Facebook:
developers.facebook.com/docs/opengraph/#audiovideo
While we've never really tested embedding a video, all of these tags should be easily done through JFBConnect with our easy-tags like:
{JFBCGraph video=http://example.com/awesome.swf}
{JFBCGraph video:height=640}
{JFBCGraph video:width=385}
Definitely read that little spec for all the required tags. We'd love to hear how it goes for you, and definitely let us know if you run into any issues!
Thanks,
Alex