Behind the Scenes:
Beat all of the Master Thief Runs to get some behind the scenes footage.

Thievius Raccoonus Movie:
Obtain all of the pages of the Thievius Raccoonus.

Tokyo Police File Movie:
Beat the game and return to the hideout. Bentley will tell Sly that one of his buddies from Japan has sent over a video. This movie is the Japanese version of the intro movie, and comes with extra animations.

Thanks to Revolution reader Mikey Bob!