There have been some efforts to use video to demonstrate J, most notably these efforts on You-Tube. There's also an extensive discussion about doing this, with technical tips and suggestions on tools to use.
Animation Demos
A simple openGL screen robot - http://www.youtube.com/watch?v=lpNRpdDd_2I
A simple openGL screen robot (again) - http://www.youtube.com/watch?v=Iw6F-6jh5WA
Animating "plus" - http://www.youtube.com/watch?v=Mfvs8o5kmyg
Introduction to Some More Advanced Features
Browsing locales with cobrowse.ijs - http://www.youtube.com/watch?v=aiLRqpx78TA
An introduction via Labs - http://www.youtube.com/watch?v=eIw-DiE9Bsc
Installing J
Demo of how to download and install J on a Mac - http://www.youtube.com/watch?v=fDS-SPtwLS4