Because Youtube has chosen using an iFrame I am confident this test will succeed. That is, whatever in the embedded playlist will work like a playlist just as if you play the Youtube playlist in Youtube's website itself.
Test the embedded playlist below. Listen beyond the first video and confirm that the second and the rest of the videos will continue playing. Here goes:
The codes useed is:
<iframe width="420" height="315" src="http://www.youtube.com/embed/bv_cEeDlop0" frameborder="0" allowfullscreen></iframe>
Nope, it didn't work. Looks like I had been overconfident. If you need to embed a playlist, go visit How To Create YouTube Playlists And Get Embed Code. Apparently it also involves some passwords. However, I did not test it as Youtube keeps changing and what works today may not work tomorrow.