Reddit reviews The Gay Science: With a Prelude in Rhymes and an Appendix of Songs
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No good ones I know of, unless you look for college lecture sessions. Any video biographies I've seen are usually over-dramatic and don't concentrate all that much on trying to understand the work itself, just sensationalizing his place in history. Other than that I'd only maybe want to listen to audiobook readings of his books on youtube.
As for a book I'd recommend you start with The Gay Science, Kaufmann translation. Still one of my favorite books ever, a very personal and esoteric one that has some more complicated and explicit ideas too, and is a good starting point for finding out how the guy thinks.
As long as you're not worried about carrying a book around called 'The Gay Science,' which you shouldn't be.
http://www.amazon.com/The-Gay-Science-Prelude-Appendix-ebook/dp/B003E8AJEM