UPDATE 01-04-2010: Unfortunately Google has changed the URL scheme for their picasaweb videos so that they expire in 11 hours, making these instructions pretty useless now :-(. Fortunately, videos embedded before this change still work (e.g. the ones on this blog), but I do not know if there is a way to look up these old style of URLs (and I imagine Google wants it that way).
In an earlier post I described how to embed video from a Picasa Web Album. I’ve added a video that shows the steps: