It's often instructive to watch great players play chess. ChessNetwork has a series of hundreds of videos in which he talks through every move of the games that he plays. I encourage budding chess players to check out his Youtube channel: http://www.youtube.com/user/ChessNetwork
I love the channel for the Chess Club and Scholastic Center of Saint Louis. It has numerous lectures targeted for beginner, intermediate, and expert players that cover a wide range of topics while analyzing games. The lectures are given by various GMs and IMs. Check out Ben Finegold's lectures, He is a great teacher and never fails to crack me up.
I liked John Bartholomew's "Climbing the Rating Ladder" videos, where he plays players of different levels and talks about strategy and common mistakes at each level:
I love those kind of annotated videos. I had one of the Chessmaster series (9000 I believe) which had videos by Josh Waitzkin where he did the same thing, often going into the psychological side of the game too. I spent a summer addicted to that program and my skill skyrocketed.
