Kanopy Streaming Films is a streaming video subscription service (log in required from off-campus) You can search for a title or topic, and you can browse by subject. Within the "Music" section, there are almost 600 films, categorized by theme. Check out the films in "Documentaries," "Folk Music," "Latin Music," and "Ethnomusicology."
JVC Video Anthology of World Music and Dance is a 30-DVD set divided by region and then country:
East Asia (5 DVDs plus guide): DVD Video 8561
South Asia (5 DVDs plus guide): DVD Video 8563
Middle East & Africa (4 DVDs plus guide): DVD Video 8564
Europe (3 DVDs plus guide): DVD Video 8565
Soviet Union (2 DVDs plus guide): DVD Video 8566
Oceania (2 DVDs plus guide): DVD Video 8568
Some other DVDs about world musics:
The Middle East and Africa:
EVIA: The Ethnographic Video for Instruction and Analysis digital archive hosted by Indiana University includes many ethnographic films, including performances and primary sources.