Thousands of websites use embending options and offer them to their users to of course draw traffic to their sites (auto advertising) but they are most of the time very useful.
For exemple, DeviantART (the art website) where people can submit their art (be it photos, drawings, paintings, sketches, anything) let people use a embeding code to show off their stuff on any site/blog. Clicking the embended image takes you to the original piece on DeviantART, and then you can acess the gallery of the artist etc, and therefore see all his stuff. All this is FREE and only for DeviantART.
But other websites give similar options to create a "interconnected web", that is more easy to use for the average user, therefore reaching more public. So I think it's important we get the possibility to use those embending codes.
Of course they can be dangerous for WordPress but I'm sure they can find a way to control the risk.
Please WordPress let us use it !!