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
I was trying to comment on the currently accepted answer but unfortunately, I do not have enough reputation to do that. For some reason, the link in that answer does not work for me. With some tricks I find this link to be working
which is "Probability Primer" by "mathematicalmonk". This channel is also pointed out by another answer.
I hope this helps!