I thought I'd provide some links to these funny Quicktime videos from the Moulin Rouge website. They're behind-the-scenes vignettes, hosted by John Leguizamo as Toulouse Lautrec. I had to register with the site to get to these, but you won't have to. Also, they're posting one each week, and they're only up to episode 5, but with some very elementary URL hacking, I found all nine. Just right-click and save. These are the high-bandwidth versions, and they're 8 to 11 mb's each. If you want the low bandwidth version, you can go find 'em yourself!
Can Can
Bohemians
Duke
Christian
Extras
Satine
A Day
Crew
Fired
And here are some more movies, from Baz Luhrmann's assistant Dubsy. If you haven't seen the film, you might want to avoid the third one, as I would say it contains some spoilers. The others should be safe:
Meet Dubsy
Writing the Script
Working on the Story
Story of the Elephant
Also, here are a couple of low bandwidth behind-the-scenes videos that I couldn't find better versions of:
Kylie Minogue flying
Jose Feliciano