I think all the videos they're showing to "Google" are making us nostalgic, and for good reason.

Some of Conan's travel videos are on the
Travels with Conan part of the site.

And here is some info from Brian Stack (a "Conan" writer/performer), who responded to the question of DVDs in his
Q&A thread on AST.
January 22, 2006
"I really do hope we can put out some kind of "Best of" DVD sometime in the future. The Anniversary shows usually require really short highlight clips (many of which I've loved) but I'd love to see a DVD released that lets entire sketches play out. It was great that things like Andy Blitz's "Dudez-a-Plenti" piece were included in their entirety as bonus features on the 10th Anniversary DVD, though. You obviously can't always pull little clips out of something like that and expect them to work as well out of context."
February 7, 2006
"We've actually talked with Conan about releasing some kind of "highlight" DVD's at some point, and he thinks it's a good idea. That doesn't mean it will necessarily happen, of course, (there are lots of factors involved like music rights, etc.) but hopefully it will at some point. I'd love to see a bunch of our favorite sketches or bits put together in their entirety, and not just as quick highlight clips."