A plug-in extends the abilities of a web browser. They are small pieces of software that allow your browser to display/execute additional files. Popular plug-ins enable your browser to display animation, play audio, video, etc.
The term embedded object is typically used synonymously with plug-in. However, technically an embedded object is any page element that is not standard HTML/XML, web graphics, or other native Internet file. The line between the two has become blurred as browsers evolve. What was once a plug-in became a built-in feature. For example shockwave/flash used to be a plug-in but it has become so popular that many browsers now build the function into the off-the-self package.