Gresham College has a phenomenal high-class series of videos on all sorts of subjects. Over the last year or so, Sir Jonathan Bate, one of the world's greatest authorities on Shakespeare, has lectured on the playwright, and currently six of these lectures are available online.
For instance, above is Bate on 'Shakespeare's London and Ancient Rome'. Gresham's also provide a PDF transcript of these lectures, and the presentations. Wonderful.