This is a list of existing and planned videos for KDE 4. Feel free to edit it.
This videos are available at the link provided.
Changing your Plasma Theme and getting new themes from the Internet using the Get Hot New Stuff feature.
A simple video showing how to switch from Kickoff to the Classic Menu style, and a brief look at Launcher Settings.
A small video showing off how (in principle) the ZUI can be used.
A small video showing how a side bar panel can be created and populated with some applets.
A screencast showing how to resize the panel and how to move it around the screen.