There are an increasing number of excellent web sites that have historic audio-visual material.
YouTube - Great resource for finding speeches and historic news items, as well as musical and cinematic trasures.
Internet Archive - Probably the best overall collection of audio-visual material that could be used for primary sources. The Archive currently contains almost 400,000 moving images and nearly 700,000 audio items, along with software and other material.
American Memory Motion Pictures - Sixteen different collections of motion pictures from the Library of Congress, including:
History.com - Web site from the History Channel. Covers numerous topics, with video and other media.
BBC History - History web site from the BBC. Contains videos on numerous topics. Particularly good section on World Wars.
Primary Source Materials: Moving Images and Sound Recordings - An excellent guide to finding primary soruce material from the Media Resources Center at the University of California Berkeley.