Patterns & Practices Security Training Modules
J.D. Meier's (from the MS Patters Practices PAG team) blog entry points to some short and useful security videos given by Keith Brown.
You should definitely add J.D.'s blog to your list of RSS subscriptions - I recently had the opportunity to spend some time with him and see some of the things that he is working on - and some of it is pretty cool. Moreover, he pointed me to alot of really great resources that have actually been around for a while, but that I was totally unaware of. Check out the following links on security and performance:
http://msdn.microsoft.com/SecurityGuidance
http://msdn.microsoft.com/Perf
http://channel9.msdn.com/Security
http://channel9.msdn.com/Performance