Let me start by saying that if you are looking for one DVD to purchase this may not be very useful to you. I tend to watch (and buy) every DVD I can get my hands on from even the most basic to the most advanced. I get something from all of them but I will admit that I get more from some than others. One thing I get from ALL of them is an excitement for painting miniatures.
Okay one of my favorites are the Miniature Mentor tutorials. They are bit pricey but if you can scrape together the one time subscription cost, the you can continue subscribing for a modest membership fee. The tutorials range from beginner to really advanced topics all covered in great detail in convenient downloadable files. One of the best things about Miniature Mentor is that they have tutorials that are sort of "off topic" tutorials that are very transferable to miniature painting. For example, there is one on weathering military models which translates directly into weathering miniatures for gaming.
Another great DVD is the Anne Forester/Jen Haley Darksword DVD. This DVD is packed with nothing but painting goodness. I really enjoy the banter between Jen and Anne as well as their relaxed style of demonstration. As a bonus Anne gives a color theory lesson which is packed with color theory goodness. Seriously there is a lot of info in there-- Watch in multiple times. Also the Marike Reimer DVD is excellent. Lots of great techniques with a straightforward style that will show you why she is a master painter. Jessica Rich has a DVD that just came out on darksword also and I can't imagine that it will not be just as good as the others and I will review it after my copy arrives.
Also I have to add to the list any video by James Wappel. I met him at ReaperCon and he is force of nature. His style is totally different from the way I learned to paint, but one I am trying to learn. I bought all the DVDs from his Painting Pyramid series I could afford and I really like the first person perspective his videos are shot in. You owe it to yourself to watch at least the Shaded Base Coat one. It will make you question the way you paint in a good way. Check out his blog if you get a chance.