During his write up on better YouTube embeds, Jeremy Keith mentioned youtube-nocookie.com. That was the first time I’d heard of that domain. It is owned and run by Google, and is used specifically for embedding videos. And it does what the name implies: YouTube without setting cookies.
The normal https://www.youtube.com/watch?v=oHg5SJYRHA0 YouTube URL would then be https://www.youtube-nocookie.com/embed/oHg5SJYRHA0.
If you find yourself needing to embed a YouTube video, then youtube-nocookie.com is the better option. Better performance, a better user experience, and better for privacy.