Where to place video files

We're a video production company and we have a player on our site for demo videos. Currently, the videos are being played from a Content Delivery Network(CDN). I was wondering if there were any SEO advantages to having the actual video files reside and play from our own web server instead of the CDN's?
Steve BrameRich Media DirectorAsked:
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There is no problem playing video from a CDN

Would you believe it is even possible to get a Youtube, Viddler or Vimeo video ranking for your own site, though it is a lot harder.

Things are a little easier if you use & submit a video sitemap or mediarss feed, it is even possible to take a video thumbnail, and have that link through to a video server by S3 (such as you would using Flowplayer) and get the video to rank on your site without any other optimization.

From an aesthetic point of view it is better to use a CNAME for your CDN, or possibly a fresh domain to avoid cookie bloat on other media files..

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