You ever wanted to go to university and take an entomology course? While searching around YouTube I found some videos called Introduction to Entomology both parts 1 & 2 brought to you by the University of California. The videos an hour each and are not specific to fly-fishing but they do give you some detailed information about insects and their life cycles. Very informative videos that move along quickly but not highly entertaining by any means. Anyway, if this is something that might interest you then give them a look.
Here's a great little video called: Midges: Chapter 5 of the "Bugs of the Underworld" DVD. This video is a little more fly-fishing related and gives you stillwater fly anglers are great look at emerging midges.
And finally (nothing really to do with entomology though) here's a podcast from Fly Fish Radio with Mike Andreasen on Stillwater Fly-fishing. Good information here.
(Click this link to hear it now)