ZyoSlider supports YouTube and Vimeo videos and there is basic api to add custom players (includes example with JW player integration).
You can also add iframe of video directly inside slide, but it'll block touch navigation on some devices and transition between slides will be not so smooth.
Despite that this example is called video gallery, you can put anything inside each slide.
Also, you can enable permalinks to link to specific slide by url, like here.
