As part of my Blizzard Entertainment research I came across the Interactive Entertainment disc magazine that had some Blizzard articles back in 1994 and 1995. On issue #15 from mit 1995, there was Blizzard company special, featuring interviews with some of Blizzard's people of these days. On other IE issues, there were a handful of new Blizzard videos, too, like Pax Imperia 2 previews, but these were usually already available online for quite some time.
These are the Blizzard videos from IE #15 plus some little commentary by me:
General info about Blizzard's announcements at and before E3 1995:
http://www.youtube.com/watch?v=RvOT0buXeyg
Blizzard company history, being the first solid source for IDS being the predecessor of Blizzard. Another (but more loose) source is a stock split press release by Davidson. Also featured is Mike Morhaime's story of how he and Allen (or Ayman) first met.
http://www.youtube.com/watch?v=cxMq9V_cFu0
Blizzard's philosophy (as they still tell today and actually already told to journalists in 1994):
http://www.youtube.com/watch?v=7rUTuIApJfk
Shattered Nations preview that finally tells us that it is similar to Civ and has some elements that we would later also see in Pax 2:
http://www.youtube.com/watch?v=Bf8I9mfxEfE
Pax 2 preview with some rare screenshots:
http://www.youtube.com/watch?v=0YnLcqibkso
Pax 2 preview with some general information:
http://www.youtube.com/watch?v=YdEtBMqpe5g
Long Warcraft 2 preview that sums up the development of the game and its features:
http://www.youtube.com/watch?v=ms9ZgZsmGWc
Diablo preview that basically explains the same things that are already known from Blizdemos and the announcement press release:
http://www.youtube.com/watch?v=bIswF7oZvRw