$('<iframe width="854" height="480" src="http://www.youtube.com/embed/gYKqrjq5IjU?feature=oembed" frameborder="0" allowfullscreen></iframe>').html();

var $html = $('<iframe width="854" height="480" src="http://www.youtube.com/embed/gYKqrjq5IjU?feature=oembed" frameborder="0" allowfullscreen></iframe>');
var str = $html.prop('outerHTML');
console.log(str);

$('<some element/>')[0].outerHTML;

$('<div><iframe width="854" height="480" src="http://www.youtube.com/embed/gYKqrjq5IjU?feature=oembed" frameborder="0" allowfullscreen></iframe></div>').html();

//set string and append it as object
var myHtmlString = '<iframe id="myFrame" width="854" height="480" src="http://www.youtube.com/embed/gYKqrjq5IjU?feature=oembed" frameborder="0" allowfullscreen></iframe>';
$('body').append(myHtmlString);

//as you noticed you can't just get it back
var myHtmlStringBack = $('#myFrame').html();
alert(myHtmlStringBack); // will be empty (a bug in jquery?) but...

//since an id was added to your iframe so you can retrieve its attributes back...
var width = $('#myFrame').attr('width');
var height = $('#myFrame').attr('height');
var src = $('#myFrame').attr('src');
var myReconstructedString = '<iframe id="myFrame" width="'+ width +'" height="'+ height +'" src="'+ src+'" frameborder="0" allowfullscreen></iframe>';
alert(myReconstructedString);