If you're an Apple Developer Connection Select member, you have access to some of the "foundational videos" from previous WWDCs. Among these is the WWDC 2006 session "Core Data in a Nutshell", which was given by Apple to first introduce Core Data on the Mac, and is a great starting video on the subject. There also is the WWDC 2007 session "Optimizing Your Core Data Application".
For the iPhone, if you're willing to spend the $299 for the WWDC 2009 iPhone track videos (which I highly recommend, given the amount of information there), there is the "Introduction to Core Data on iPhone" session. That one session is about the best overview there is for Core Data in its iPhone incarnation. Also in WWDC 2009 is the "What's New in Core Data" session highlighting some of the new additions to Core Data appearing first on the iPhone and in Snow Leopard.
I second Adrian's recommendation of the CocoaCast episode on Core Data. It's what first caused me to look at Core Data on the Mac.
If you're looking for audio content, I'd recommend Marcus Zarra's walkthrough of Core Data in the second episode of Late Night Cocoa.
UPDATE 7/8/2010: The videos for my advanced iPhone development course are now available on iTunes U, including one class on Core Data.
