Some things that come to mind:
- avoid uploading long videos to your instance
- Host your own videos on Vimeo or the Internet Archive
- Alternatively join or host a PeerTube instance
- avoid sharing YouTube links, as YouTube videos always track viewers across websites
- TikTok also collects lots of data
- If you want to link to a video on YouTube, use an Invidious instance as a relay: https://invidious.io/
So, will depend on concern for data usage, stream efficiency, but also privacy.