Yes, I was discussing this with @chromakode the other day.  Our consensus was that the www.redditmedia.com embed is a throwback to before our use of embedly and they obviate it by providing their own sandbox domain.  One place we may continue to need to use redditmedia.com for embeds is self-serve ads where in the current implementation employees can put whatever override code they want in there including script tags.  That stuff's changing, too, though so likely not an issue forever.

re: twitter embeds, @chromakode was pondering on whether it'd be possible to do the embed via a data uri or something? Otherwise it'd definitely still need redditmedia.com; we're not running third party JS on our main domain for sure.