I am looking for lecture videos on Measure Theory. I am not able to find any. Looking forward for your response.
This link is useful also. One complete video course is there.
I'm not sure how much of the subject you know already, but mathematicalmonk's youtube channel has some nice videos introducing the subject and moving into a proper treatment of probability.
Maybe this link is also of interest in relation to the question http://www.youtube.com/playlist?list=PLD4489A54EA4C7C1D