When I first started thinking about All-Grain Brewing, I spent a lot of time on the internet 'researching' my obsession. Among other things, YouTube helped a lot.  Sometimes it really helps to watch something done first before you proceed.  These videos helped me immensely.  (Thanks to all that put the time in to help share the obsession!)

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Chris Knight's All-Grain Brewing series of videos are my favorite...  (link to Chris' youtube page).
-he's also got some videos on Kegging that are good too! (Thanks Chris!)

All-Grain Brewing Video #1

All-Grain Brewing Video #2

All-Grain Brewing Video #3

All-Grain Brewing Video #4

All-Grain Brewing Video #5

All-Grain Brewing Video #6

All-Grain Brewing Video #7

All-Grain Brewing Video #8

Below is a video on how to make a cheap and easy mash tun.  While this isn't the best example out there, it will help give you a picture of what it actually is.  I have found that the plastic didn't hold up well to the high temps of the mash water.  I eventually got the adapters I needed from Northern Brewer.