Here are some of my favorites :
Sidney Coleman's Quantum Field Theory (http://www.physics.harvard.edu/about/Phys253.html)
Shiraz Minwalla's String Theory (http://theory.tifr.res.in/~minwalla/)
MIT OCW (http://ocw.mit.edu/courses/audio-video-courses/#mathematics)
Videos to short courses at some workshops can be found at www.ias.edu and www.msri.edu