In comments, the Edit Profile page, or the HTML editor, you can also use the code <lj-embed>[embed code]</lj-embed>, replacing [embed code] with the embed code provided by the hosting site.
However, as far as I understand, the <lj-embed> code is only for the Post an Entry page and doesn't do anything when used in profiles or comments, where being able to post embedded media is based on a whitelist. If I'm not wrong about this (although that's always possible!), we should update this FAQ to take out this erroneous information.