"Making Of" videos are so interesting. I love watching a movie that has amazing effects become deconstructed into something called a breakdown. Here are a few of my favorites:
From my favorite visual effects film of all time, The Curious Case of Benjamin Button, this clip shows a breakdown of the incredible film. For 2009, these are ground-breaking visual effects using head replacement and explore the concept of "motion capture", which in my opinion paved the way for other great VFX films.
Also one of my favorites as far as breakdowns go, Alice in Wonderland is an amazing way of showing the true amount of effort it takes to create powerful visual effects.
And one that you wouldn't expect would have so much VFX, but is very heavily reliant on it: Black Swan.