Embed by default.
It's much easier to follow a question when what needs to be seen is right there, and you don't have to worry about people not bothering to look at it (either they ignore the link completely, or are afraid to click on it because it might be spam).
That being said, if you need to post a full screenshot, it's probably better to embed a thumbnail (of decent size, not overflowing the layout), and make it clickable to show the full version.
A word of caution: when doing this with images where you are not hosting them yourself, links can go stale, leaving you with nothing in your post. In these cases, I would strongly consider making a copy of the images and hosting them yourself.
Please allow image uploads directly onto the site