I only own one cross DVD, which is "Pure Sweet Hell". It's pretty fantastic. There may be other cross flicks, but they must have horrid marketing folks because I've never heard of them. You can see a preview of that here: http://www.youtube.com/watch?v=pkOhzvv-4vA I highly recommend owning it.
There are a ton of great clips of on Youtube if you search 'cyclocross'. You could grab a bunch and burn them to a DVD for trainer sessions.
"A Sunday in Hell" is pretty dope as well. It isn't a cross flick, but it's Paris-Roubaix 1976, so it isn't all that different.
Yea, "A Sunday in Hell" is sweet. Also there is a dude Nathan Spear out in Internet-land who gets Flash videos from some dude in Belgium that is LIVE Sporza coverage. Awesome to watch. Haven't figger'd out how to burn them to a DVD yet, and am also beginning to learn some Flemish!
9-Ball Diaries is definitely worthwhile. I own most of the american made cyclocross dvd's. 9-Ball has the best video quality and race coverage of any of them. It is completely focussed on Tim Johnson, but I am fan of his, so that doesn't bother me.