Since you don't mention iWeb, I take it that you are using some other method of creating sites.
Dropdown menus are fairly simple and can use pure CSS...
http://www.iwebformusicians.com/iWeb/css-menu.html
... the more complicated ones use some javascript as well.
Most slideshows use javascript and there are a lot to choose from...
http://www.iwebformusicians.com/iweb-snippets/slider.html
http://www.iwebformusicians.com/iweb-snippets/gallery.html
... but this is the future using pure CSS...
http://www.iwebformusicians.com/iweb-snippets/flux.html
Nowadays its normal to use HTML5 to get movies on a website with fallback to flash for older, out of date, browsers....
http://www.iwebformusicians.com/Website-Movie-Video/Fallback-To-Flash.html
This is the latest version of flowplayer which is very easy to setup...
http://www.iwebformusicians.com/Website-Movie-Video/Fallback-To-Flash.html
Its worth taking the time to learn how to do this rather than use YouTube which is kind of tacky and seems to contain more and more advertising....
http://www.iwebformusicians.com/Website-Movie-Video/YouTube.html
Vimeo is better - especially if you pay to remove the branding...
http://www.iwebformusicians.com/Website-Movie-Video/Vimeo.html
Here's how you can make them popup from a text or image link using jQuery...
http://www.iwebformusicians.com/iweb-snippets/popup-movie.html