Here are some Windows 7 videos that I found useful and educating. They are all from Microsoft's own Channel 9.
Mark Russinovich: Inside Windows 7
This one is a real gem. It is hard to pinpoint subject since they go all around Windows 7 topics, but if you are a developer or just guy who likes to know technical details - this is video to look. If you are searching for some more details on startup/shutdown workings, there is another video (from Chittur Subbaraman) for you also.
Windows 7 New Taskbar - An Overview
To get a grasp on how exactly new taskbar works, you may wish to see this. If you like this check other videos of same series. They additionally deal with its design, internals and jump lists.
A lap around Windows 7 new Scenic Ribbon
Introduction to ribbon interface. Nothing new for those who already worked with Office 2007. For more technical details, you may want to watch this also.
Larry Osterman: Windows 7 Audio - What's New
Some changes in area where nobody seemed to have a problem. :)
Windows 7: Find and Organize Part 1 - The User Experience
This one is about new way of organizing things inside Windows 7 (libraries and such stuff). If you are developer, part 2 may interest you.