I already use uTube to play my video's on my site but, I want to self host one or two direct from a page on my site. Can this be done?
Also what imapct does this have on bandwidth with my Host (GoDaddy)
Yes, use an html5 video stack, there are several out there.
Bandwidth - directly related to video size and amount of plays, but in general yes, it takes a lot of bandwidth.