Both of Shawn Lane's REH inscrutional videos (Power Licks and Power Solos)
Greg Howe's Hot Licks video
Jason Beckers instructional video
Joe Stump arpeggios dvd available from http://www.joestump.com
And maybe Michael Angelo's Speed Kills.
Also Frank Gambale's video is good for building technique.
A video to avoid I think would be Yngwie Malmsteen's instructional videos. He really doesn't teach you much of anything that you can't pick up for free online, and on top of that, he doesn't even tell you to do what he's playing in the video. He'll go through an excercise, then when its his turn to play it he plays it totally different.
