Rufus performs a gorgeous "The Art Teacher" on US late-night televison. Watch how he hams it up for the camera/audience on the the word "loved" in the last line. Probably my personal favorite Rufus video. His intonation is really beautiful, in terms of both emotional expression and vocal quality.
From 2004, Rufus Wainwright gives an interview with a Dutch program, opening with a performance of "Beauty Mark." The clip includes interviews with his mother, video of Rufus as a kid and Rufus talking about his father and their argument that inspired him to write "Dinner at Eight." Part I ends with a performance of "Pretty Things."
From an American televsion holiday special, Rufus Wainwright gives a short interview on the real significance of Christmas, and then performs a lovely acoustic "Spotlight on Christmas."