Yes, for YouTube videos a preview image is shown (not for Google videos yet), and the video is not embedded until you click on the image. That's actually a feature. I thought that would be obvious. The purpose is to avoid having 10 or more Flash instances on the same page, because it can slow down some computers and/or make the scrolling of the page sluggish.
So the preview images are a good thing. They load very quickly and the user himself can decide which videos to play.
Okay, one annoying thing might be that you have to click twice until the video plays. I'll see if I can fix that. Edit: Fixed!