There aren't all that many training videos on the market on the topic of ethics. (If you're looking for one, a recent release that you might like to check out is Moment of Truth.) But one that has been around for awhile and continues to sell very well is Ethics for Everyone. It is a solid, straight-forward ethics training video that covers issues ranging from insider trading to stealing office supplies...from making personal long distance calls on your work phone to keeping your promises.
This video provides training points to help employees make certain that their behavior is consistent with their values.