Unfortunately, it leads to really, really crappy questions, in that you end up with a question that consists mostly of an outside link. This usually leaves the question as borderline NARQ.
Balsamiq mockups can be embedded in a question on UX and YouTube videos can be embedded on certain Stack Exchange sites. This is enabled through an external API provided by these services.
jsFiddle allows embedding of a fiddle in a page given you have the URL of the fiddle.
That said, if a raw link to a fiddle is encountered on a line of it's own, embed it appropriately as well as embed the original link in the question (possibly through an HTML comment or through a
This will give more context to questions and answers that rely heavily on jsFiddle (and let's face it, given the tag soup above, it's the norm).
To be clear, I'm not looking for Stack Exchange to host their own fiddle-like service, the feature request is to embed the content from the already existing service.