The Official Lord of the Rings Movie site features the following interesting videos:

The Fellowship of the Ring Trailer
Download the Full Screen Fellowship of the Ring Trailer
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Vance Hartwell Discusses Creating Hobbit Ears
Hil Irwin Discusses Creating Hobbit Feet
Sascha Lees Discusses Creating Hobbit Hair
Peter Jackson on Finding a Location
Peter Jackson Conceptualizing the Shire
Peter Jackson Discusses Constructing Hobbiton
Peter Jackson Fine Tuning Hobbiton
Peter Jackson Completing the Shire
Peter Jackson Responds to Fan Questions #1
Peter Jackson Responds to Fan Questions #2
Peter Jackson Responds to Fan Questions #3
Peter Jackson Responds to Fan Questions #4
Peter Jackson Responds to Fan Questions #5
Peter Jackson Responds to Fan Questions #6
Peter Jackson Responds to Fan Questions #7
Peter Jackson Responds to Fan Questions #8
Peter Jackson Responds to Fan Questions #9
Peter Jackson Responds to Fan Questions #10
Peter Jackson Responds to Fan Questions #11
Peter Jackson Responds to Fan Questions #12
Peter Jackson Responds to Fan Questions #13
Peter Jackson Responds to Fan Questions #14
Peter Jackson Responds to Fan Questions #15
Peter Jackson Responds to Fan Questions #16
Peter Jackson Responds to Fan Questions #17
Peter Jackson Responds to Fan Questions #18
Peter Jackson Responds to Fan Questions #19
Peter Jackson Responds to Fan Questions #20
Peter Jackson Responds to Fan Questions #21
Peter Jackson Responds to Fan Questions #22
Peter Jackson Responds to Fan Questions #23
Peter Jackson Responds to Fan Questions #24
Peter Jackson Responds to Fan Questions #25