I had no idea this existed, but apparently Google has a 'privacy-enhanced' option for publishers/bloggers/whoever to embed a video on their site. According to their support document:
When you turn on privacy-enhanced mode, YouTube won’t store information about visitors on your website unless they play the video.
Video is loaded from the https://www.youtube-nocookie.com domain and, presumably, no tracking cookie is loaded until a user presses play. I suppose it shouldn't come as a shock to know that the default behaviour is to track your users behaviour as soon as a normal YouTube video is loaded without playing the video.