Post Format: Video (WordPress.tv)
http://wordpress.tv/2009/03/16/anatomy-of-a-wordpress-theme-exploring-the-files-behind-your-theme/ Posted as per the instructions in the Codex.
Post Format: Video (VideoPress)
[wpvideo tFnqC9XQ w=680] VideoPress, especially as a video post format, usually provides some unique styling issues. You will need to install Jetpack or Slim Jetpack plugin to turn the shortcode into a viewable video.