An excellent introduction to the music is "Jazz - A Film By Ken Burns" which is available as a set of 4 DVDs.
Some critics have suggested that his sympathies are somewhat tilted towards pre-war Jazz and somewhat against modern Jazz. Nevertheless it provides a wealth of information and a fascinating insight into the development of the music.
It is worth mentioning too "Martin Scorsese Presents The Blues". This is a series of 7 films by world famous directors in a DVD boxed set. Some films are better than others but they are all worth watching.
British fans should be interested in the film "Red White and Blues" by Mike Figgis which covers the influence of the blues on British musicians and the re-export of the music to America. It includes reminisces from the likes of Humphrey Lyttleton, Eric Clapton and John Mayall with some great performances by Tom Jones, Jeff Beck, Pete King and others.