There are several contrib modules for Drupal whose main purpose is to embed third party applications so they can be administered within Drupal. An example of this type is the Gallery module which embeds Gallery 2 into Drupal.
It can be very confusing for first-timers to use this type of contrib module because they somehow miss the fact that, in addition to the Drupal contrib module, they also need to download the third-party application from somewhere else and then install and configure it to work with Drupal. I managed to set up Gallery 2 in Drupal via the Gallery module and you can see the result of my test by clicking either the image on the right sidebar or the Gallery link on the left sidebar.
Not bad. However, I'm thinking what advantages are there to have all types of content within the control of a CMS? For one, many more types of content can be brought under the search and retrieval mechanisms of the CMS. What advantages are there to have some types taken cared of by external third-party applications and just linked to from Drupal? Storage and bandwidth perhaps especially if you use Flickr or YouTube to host your media files.