Go to
http://www.kwsu.org/ and download their OMN player and you can download fly tying series The Anglers Art. Usually two or three different flies per show. The first season is not ready for the OMN player yet but you can view them through here
http://kwsu.publictelevision.org/stations/kwsu/episodes.asp?eid=12&pid=2.
You can also get video's by Al Beatty a well know tyer here
http://www.flytyingforum.com/index.php?showtopic=10953&hl=video's
You can also take the visual fly tying class's at
www.flytyingforum.com
For the above two you need to register as a member and it's free.
The other one I've used is
http://buckeyeflyfishers.com/?B1=HOME a fly club out of Ohio, just go to the fly tying section.
There's many more out there and if you look through enough links you'll find many more, but these one's should last you a while.
Fatman