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We said last week that Last.fm was adding video soon, but in fact the roll out has already begun. A video section now appears on profile pages, with bands like The Foals and The Knife offering the first video content (uploaded a few days ago, it seems).
We don't currently see the option to embed these clips elsewhere, but there is a button that lets you buy the album on Amazon. The upload page also allows for the upload of videos from labels and artists.
The personalized channels, which will be somewhat like StumbleVideo for music, aren't yet live - Last.fm will need a big stash of clips before it will be useful.
PS. Not sure whether this rollout is brand new or began as part of the May update - we only got notified of it today.