Yeah this is probably sort of trivial, but I love history and finance so the combination of the two is too good to pass up. This is on the 1920s. It shows the how the stock market worked with specialists at posts and how the ticker tape was created--the video of order confirmations is fascinating and reminscient from my mental picture of Orwell's 1984), the risks of buying on margin, and the crash of 1929.
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It's from an episode of Modern Marvels; I show it to my intro Finance students every semester. The rest of the show is equally interesting... I think it's available from the History Channel's website.
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