This blog is demonstrating extra features available when blogs are exposed via Reviewer theme.
So how it works when we view a specific blog post. We put some text in a post and some links to videos across the text. As blog content is being displayed all links to videos are collected from the content and thumbnails linked to videos are displayed at the bottom of the post.
There is one player at the top. Once a reader clicks on a video thumbnail related video starts playing in the player.
So here is a sample - we refer to some videos using thumbnail like this 
, or using text links like this BMW M6 Sample Video or that CS Theming part 1.
When viewing the whole list of posts for this blog you will see similar behavior - for each post video links are collected and displayed as thumbnailed links at the bottom of each post. While there is no a player on the blog post list page nothing prevents it to be added and customized.