Yale has video of a number of old, good classes online and also available through iTunes (as audio or video). I have already recommended Donald Kagan's course on ancient Greek history. I want to make another recommendation: a philosophy course on death, by a different Kagan: Shelly Kagan, who left the University of Illinois at Chicago for Yale right before I arrived at the former for graduate school. Kagan's course covers a lot of ground; if you never have had a philosophy course before, you will learn much about personal identity and philosophy of mind before getting to more attitudinal questions about death. The lectures are crystal-clear.
There was, incidentally, a curious coincidence when I listened to the course. In one lecture, Kagan started unsympathetically to dissect Heidegger's claim to the effect that everyone dies alone. As I listened, it seemed to me that his critique sounded surprisingly like Paul Edwards' critique in the savage Heidegger's Confusions, which I was just in the process of reading for unrelated reasons. Lo and behold, Kagan suddenly refers to an article by Edwards, which turns out to be in the course packet—his analysis does come from Edwards. Small world.