A "How It's Made" video that shows the process of wool making, from sheep shearing to finished product.
Brooklyn Tweed fiber company made this short video that shows all the details of how yarn is made. You can also watch how How Worsted-Spun Yarn is made, as well as a very short close-up demonstration of Handknitting.
How famously soft Fair Isle knitted garments are made, from shearing to making the yarn to knitting.