Sweet!
Interview with Alekhine, Footage of Capablanca

Capablanca footage can also be found in Chess Fever.

Hey Gabriel,
Thanks, that was awesome. I love the English interviewer....So Dr. Alekhine do you think chess player are born or....then you hear the voice of the great man, and it's not the deep resonating voice I anticipated. It was a real gift for me. When I was in my twenties, I worked at Game of Berkeley where one of the guys working there was a Master and the manager was a Candidate. He told me to put what ever I wanted on my name tag so I had the tag changed to A. Alekhine. Working for seasoned chess players was great, every day free lessons. Thanks again. That's the first time I ever heard his voice.

Interestingly, Fischer said much the same thing about great chess players in a slightly uncomfortable interview (http://www.youtube.com/watch?v=MPlXC3M8hbg), that great chess players are born, but that many of the top players just 'work like dogs'.
Also, the mighty Tube also has Chess Fever in its entirety (I think), featuring Mr Capablanca. He seems to be a cheery guy, but obviously wasn't well versed in camera-acting as he looks at the camera more than once.
Part 1: http://www.youtube.com/watch?v=QEPVxYagh00
Part 2: http://www.youtube.com/watch?v=zK7sfwGuGbQ&feature=related

Someone's recently put up a load of videos of the old masters, including some footage of Alekhine playing a game with people as the pieces.
http://www.youtube.com/watch?v=pMRg3I--SfA&feature=related
Footage of Bogoljubov:
http://www.youtube.com/watch?v=Ufjzqd4qhNg&feature=related
Fischer - Botvinnik 1962:
http://www.youtube.com/watch?v=Ufjzqd4qhNg&feature=related
Botvinnik - Flohr:
http://www.youtube.com/watch?v=xs_6gnJB3Ck&feature=related
Tal - Nikitin:
http://www.youtube.com/watch?v=BGN6MOp9vM0&feature=related
Smyslov - Fischer:
http://www.youtube.com/watch?v=WGfwZhGvEP0&feature=related
And others too.
Thought you guys might be interested in hearing this recording of a BBC radio interview with Alekhine that's on Youtube. It's nice to have a voice to put to the games, although I kinda expected his accent to be a little thicker than it is:
http://www.youtube.com/watch?v=QrH-tcDTU48&NR=1
Also, from the same guy is some footage of Capablanca - I'd assumed there wasn't any so it's a very nice surprise to see Youtube come up trumps on this one:
http://www.youtube.com/watch?v=_b8If7_Z4Us&feature=related