My favorite is probably "Air Architecture," in which the Klein futzes with a tank of compressed air in his kitchen attempting to perfect his "air roof." To actually work he'd have to angle a series of compressed air jets skyward and keep them going with enough pressure to ward off rain, snow, and conceivably wind. A fanciful invention to be sure, and watching Klein play around with it is a joy.
Also be sure to watch his musings on Judo--he was quite an accomplished fighter--and a longer video on his massive installation of blue sponges on the walls of the lobby at the Gelsenkirchen Opera House in Germany. Another favorite, not least because it features a small bevy of naked ladies, is a short film that shows him developing his Anthropometries, a series of paintings in which he used the paint-covered female form as the brush.
Though the videos themselves have a choppy, half-finished feel and fade out with little ceremony, Klein reads beautifully as an artist at once devoted to craft and his own fancy. He seems to work on sheer instinct, yet the execution of the works show here leaves little doubt that though he's been dubbed a conceptual artist, his production is as careful and profound as his thinking.