Teachers in conventional classrooms often ask learners to express themselves and show their thought processes by speaking out loud, drawing on a whiteboard, or even using physical objects. Despite the pedagogical value of such activities, interactive exercises available in most online learning platforms are constrained to multiple-choice and short answer questions. We introduce RIMES, a system for easily authoring, recording, and reviewing interactive multimedia exercises embedded in lecture videos. With RIMES, teachers can prompt learners to record their responses to an activity using video, audio, and inking while watching lecture videos. Teachers can then review and interact with all the learners' responses in an aggregated gallery. We evaluated RIMES with 19 teachers and 25 students. Teachers created a diverse set of activities across multiple subjects that tested deep conceptual and procedural knowledge. Teachers found the exercises useful for capturing students' thought processes, identifying misconceptions, and engaging students with content.