1. "Secrets of the Short Game" - Phil Mickelson - in my view the best instruction on improving the short game I have ever seen.
2. "Tom Watson's Lessons of a Lifetime" - instruction on all elements of golf.
3. "Dave Stockton's PUTT TO WIN" (and there is a similarly named book that is excellent). There are key simple things discussed in this DVD about putting.
I believe the Mickelson and Watson DVDs can be purchased from Amazon.com, and you would have to go to Dave Stockton's web site to purchase his DVD.