Nothing really, like any website which serves video files. But it's pretty hard to insert malware into video files; you'd need to find a vulnerability which you can exploit in some common video players for them to be worthwhile.
Same thing preventing ad networks from being used the same way. Which is how I got malware on my system for the last time ever (I stopped letting Flash and Java run in browser).
But you would need something that interprets the MP4 or MP3 as an executable, or an exploit in whatever decoder software is being used that allows you to hijack execution and run your own code instead of decoding and playing the media?
Or you are talking about an executable that simply plays a media file but is still actually an executable...which is an unsophisticated "attack" that I'm pretty sure was last used 20 years ago for being so obvious?
