Moodle gives you the opportunity to provide students with media. These are usually pictures, audio files or videos. You can upload and display your own files directly in your course. However, keep in mind the size limit of 100 MB per file. If you want to refer to external sources, you can simply embed them. For example, YouTube videos can be played directly from the Moodle classroom.
In the following video you will be explained these possibilities step by step. (Only german)
You can find more information of embedding media on this site here.