In reply to NessaMay:
I think the BMC mountaineering essentials DVD was nicely done - possibly not quite what you were after, but you follow two groups on a day out winter mountaineering in Scotland. You learn a lot too - well, I did. The Alpine equivalent is also good.
Climbing wise, you can pick up 'Sea Fever - Classic climbs of Pembroke' for a couple quid online. I wrote a review of it on somewhere with in this subforum.
Eric Jones' 'Eiger Solo' is on youtube too - that was one of the videos that made me want to start climbing!