One set of video interviews that I particularly enjoyed was the one that Weiner did for The Archive of American Television (which is a part of The Academy of Television Arts and Sciences.)
The Archive's website, EmmyTVLegends.org, hosts this set of interviews (along with several hundred other sets with some really notable TV stars) here: http://www.emmytvlegends.org/interviews/people/matthew-weiner
Note that the complete EmmyTVLegends interview with Weiner is over 8 hours long, but there's a glitch on their website such that only one segment of the full 8-hour interview is available.
For those of you who just want to watch this one segment directly on Youtube, here's the link: https://www.youtube.com/watch?v=5UGt2a823Tc
I know I watched the full 8-hour interview back when it was posted in 2011, but a brief Google search doesn't help me find the remainder of this interview.
There are however snippets of the rest of this interview available in the following two Youtube playlists: