I haven't had time to watch many of them, but I've been planning to go through
Brendon Chung's Streams (Brendon is blendo games, of Gravity Bone / 30 Flights fame).
There's also Notch's Ludum Dare streams, which are neat (though of course you have to go into them understanding that making a game in 48hrs is very different from making one over the course of years). Here's
part one of him making
Prelude of the Chambered (and the rest of the parts can be found through the twitch links
here).