This is a tricky subject for us to discuss, because we clearly have a vested interest as a video hosting service provider. That being said, if you are looking into self-hosting your videos, there are some key issues to consider before taking the plunge.
The first and foremost point is efficiency. Even if you have a lot of videos, your storage and bandwidth needs are still going to be less than if you pooled your content with other sites, so you will wind up paying a lot more per GB. Video hosting providers are able to negotiate better rates with CDNs because they handle more volume in both bandwidth and storage. Even after taking their margin into account, you are likely getting a better deal on each GB of storage and bandwidth than if you try to go it alone.