If you want to retain complete control over your video content than hosting the video files yourself is the best option. The only downside is you will have to consider the bandwidth usage and depending on what kind of copyright controls you want to have in place. The setup would be up to you.
If you are looking to gain exposure to new visitors or attract new customers than having the video hosted by YouTube would be a more suitable option. The plus side is the bandwidth bill would be paid for by YouTube and not you. By having the video hosted by YouTube, you can still embed the video on your website with no issues.