Open the Rich Content Editor using one of the Canvas features that support the Editor.  (Announcements, Assignments, Discussions, Pages, Quizzes, and Syllabus features.)

Select one of the external tools.  They are featured with a colored icon, rather than black and white.  In this example, we're using YouTube.  However, from left to right, you can embed from Khan Academy, YouTube or Vimeo.

Search for the content you're looking for [1] and then click 'Embed' button [2]

Now this item is embedded and students don't need to leave Canvas.  Further, any ads or additional content are removed.