You can use direct video url
    for full-sized videos & covers
    HTML5 VIDEO          custom video player

    mightySlider supports YouTube, Vimeo, Metacafe, Dailymotion, Twitvid and HTML5 videos and there is options to add custom players (includes example with mediaelementjs integration for HTML version).

    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 slider, but you can put anything inside each slide.

    Also, you can enable permalinks to link to specific slide by url, like here.