Soundcloud. Pasting the Soundcloud URL into the post/reply box should result in the player automatically embedding. (Note: If that doesn't work, there's a Soundcloud icon on the post page. Click it, paste your Soundcloud URL in the small window that opens, and your Soundcloud player will embed.)
Youtube. Paste Youtube.com and Youtu.be URLs in the post page (with no extra tags) and the video should automatically embed.
Twitter. Post a status URL and the embedded Tweet automatically will appear. Note: this sometimes takes a few moments to load.
Bandcamp. Embed is possible using BBCode.
[bandcamp]album ID number[/bandcamp]