Exactly what I was looking for

This plugin gives your website
* More privacy (uses the no-cookie urls by default)
* Faster loading times, since the videos are hidden behind an image link that looks very similar to youtube’s own one
* Possibility to cache videos
* Possibility to enforce the rules to all your already embedded videos

One note: Use the HD option to also get better quality thumbnails (wasn’t obvious for me at first)
Setting up the plugin is quite straight forward, you might need to fight a bit with getting the API key, but it os not that hard.

Great work, this really helps minimizing loading times, thank you very much for providing this plugin!