Hi there,
In terms of playlists for songs(not videos) in the default music app, long press the track you wish to add to a playlist then select 'add to playlist'. You can then add it to an existing or create a new playlist on the fly.
In terms of youtube vids, you would need to bo to youtube in your browser on a desktop/laptop and add the vids to a playlist then you can access the playlist through the youtube app.
In terms of standard videos on your phone I couldn't find anything in the default video player on the SGS3 but I'm sure someone could recommend an app that would do it for you.
HTH
Elbee