Scott Henderson's REH video is brilliant, his style is blues/fusion/jazz. The tips and notions he provides on melodic phrasing is excellent, the video's great just for this. He also talks about scales and chords (he has 2 REH videos). He also shows you ideas on what scales to play over what chord over changes.
I've also got the Allen Holdsworth video, again, being a fusion player he provides lots of scale ideas, which are pretty unique sounding. This one's for the advanced.
John Petrucci's REH video provides lots of licks & chromatic etudes, as well as techniques for building chops, speed and practice routines. I like this one, although in terms of music theory this one's weak.
Al di Meola's video is quite good too, he shows you his technique, as well as some scales and how to "aim" for a particular note within a run etc, and much more.
There are as many REH videos as there are great players - Malmsteen, Eric Johnsson, Stanley Jordan, Brett Garsed, Frank Gambale, Greg Howe Paul Gilbert and so on, and most of them are quite good, each artist shows how to play like them pretty much, and they show you their take on music theory.[/quote]