Increasingly, people are putting their lectures, teaching material, and (in some cases), entire courses on the web. Here are a few I've recently come across:
A Short Course In Behavioral Economics: Daniel Kahneman (yes, the Nobel Laureate) has recorded and posted videos of a two day conference called "Thinking about Thinking".
Robert Schiller's Spring 2008 Financial Markets Class at Yale: Schiller has done a great deal of work in market efficiency, and also created the Case-Schiller Index of Home Prices.
While surfing through Yale's Open Classes, I also found a class titled Game Theory, by Ben Polak, a widely published economist. He seems to cover all the big topics: Nash (and other) Equilibrium concepts, Adverse Selection, Signalling, and even Evolutionary Game Theory.
If you know of other finance/econ classes on the web, let me know in the comments section and I'll post them here.