YouTube have released a new function to their users, Video Annotations, this gives you, the user the option to add annotations, bubble messages, and even links, directly into your YouTube videos!, Here is a simple example of what you could do,

There is a tutorial video on YouTube located here http://www.youtube.com/watch?v=UxnopxbOdic&feature=iv

And a demo, Interactive Card Trick, to give you an idea http://www.youtube.com/watch?v=tbEei0I3kMQ&NR=1

I would like to have embedded these, But it has been disabled by the authors for these videos.