Besides the full-length documentary “Exit through the gift shop”, Banksy has published quite a few video clips on his website http://www.banksy.co.uk throughout the years.
Banksy at the museums
Prank at Glastonbury 2010
Pier pleasure in Brighton. 2010.
Banksy storyboarded the opening scene for the Simpsons in October 2010
Rebel robot attack. The sixth day at “Better Out than In”. October 2013.
Make this year YOU discover a new destination. The Gaza exhibition. February 2015
Dismaland Trailer. July 2015.
Sir Elton John at the opening of the Walled Off Hotel