Here are the links to few very useful video tutorials. These videos are made available to the developers directly by Microsoft.
Setup Videos: These videos are very useful for successful installation of SQL Server and to ensure that there are no installation issues during the course of development.
Integration Services Videos: These videos explain about various components of SQL Server 2008 Integration Services (SSIS) and will help in understanding various features & capabilities of SSIS.
Analysis Services Videos: These videos explain the basics of SQL Server Analysis Services. These are especially helpful for the beginners to understand how to create a project in SSAS, Deploy Cube, Work with Dimensions, Measures, Hierarchies etc.
Reporting Services Videos: These videos explain the basic steps involved in the creation of a basic tabular report using a Report Wizard/Report Builder.
Note: The links posted here are just for my reference and for any beginners/anybody who is interested in learning various components of Microsoft SQL Server.