One advantage of using Viddler is they can encode the video for you, so it will be of higher quality. The videos are also stored on Viddler, as opposed to your own database, so you'll save space on your website. Viddler also has commenting, embedding and other really cool features out of the box. These features, for the most part, can be enabled with Sitefinity. They will, however, require some coding and configuration. The User Manual
has an article on Viddler under Customizing the Images and Documents Module (Page 208)
Another Viddler advantage is thay many people go on the site, so the video will get lots of exposure as opposed to just being on your website. Viddler also shows you related videos, both from you and from other users, so there is more diverse content using them.