Here's some videos you might enjoy from YouTube. They are embedded on separate pages on this site - multiple parts are on the same page.
There's also a link to a report from BBC's Wales Today TV programme in 1995. It is on the BBC's web site.

MSP Live - Clapham Grand (with Bernard Butler) - 2 March 1994 (Most of this - 11 of the 14 songs played that night)

Reading 94 Interview With James And Nicky

Richey's Last TV Interview - Swedish TV 1994 (This is in 4 parts)

BBC Wales Today report - 1995

Richey Missing (with Rachel Edwards) - 21 December 1995

Vanishing Of Richey Manic (This is in 3 parts)

Close - Up Documentary (This is in 6 parts)

Missing 2011 (With Rachel Elias) - 11 May 2011