In this following link, you will find several Tutorial Videos for different profiles (from end users to IT Professionals) and skill levels (Beginners, Intermediates and Advanceds):
http://www.sharepoint-screencasts.com/
You can download them in WMV format.
Great Site Concept but Looks like these links are for htm with embedded Flash so you cannot download WMVs as suggested above, only play within browser ???
I am after some WMV files to download to my Phone (HTC Diamond)