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 - 13 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)
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)