For elementary courses, say up to first year undergraduate or so, [Khan Academy][1] has a wide range of courses on maths (some of which are listed under computer science or physics).

For graduate courses, several answers have mentioned MSRI and/or the Hausdorff institute but [the Fields Institute video archive][2] deserves a mention as well. The archive does no go back very far, but there are some excellent courses at various levels. (Search for the word "course" on the linked page).


  [1]: https://www.khanacademy.org/
  [2]: http://www.fields.utoronto.ca/video-archive/