To start, I would go with this one from Brenda Aloff: Fundamentals - Foundation Training For Every Dog - Brenda Aloff
BowWowFlix: Clicker Magic - Karen Pryor - Dog Training DVD
I haven't watched this one, but it looks like a great one to continue:
Games to Enhance Training - Wendy Pape - Sport Dog Agility DVD
And this is good, but can be a bit boring, her methods are great(if you can go to a workshop to learn hands on, much better!):
Bridget Carlsen's Got Attitude
When/if you decide on certain sport venues, there are great videos specializing in which ever you are interested in.
If you are going to do IPO, I would look in the SchH section for obedience foundation.