The Teaching Palette featured this video, "The Artist", which I think is a good place to start. You can watch the entire video, along with others in the documentary series, "The Collector", "The Rostrum", and "The House" on Sotheby's Your Art World site.
Uploaded by SothebysTV on Sep 26, 2011
"Start where it all begins - with The Artist. Enjoy an inside view of the creative process through the eyes of four of the world's most intriguing and innovative artists: Jeff Koons, Ronald Ventura, Cai Guo-Qiang and Amy Granat."
The videos on the YouTube channel seem to be mostly introductions to, or moments from art auctions (For example, you can watch Picasso's "L'Aubade" be auctioned for $20,000,500.00)
