Make sure you change the default password from alpine, no one seems to emphasize this, but ssh is always on so when you're using a public network all it takes is someone to ping you, ssh into your phone and download everything.
Are you referring to videos you've taken with a program such as Cycorder or iPhoneVideoRecorder, etc.? If so, which one are you using?
Secondly, for custom SMS tones, you'll need to find/cut an audio file to whatever you'd like for your SMS tone. Then, do a conversion of that file (most likely .mp3) to a .caf file. Google for a free conversion program or search at http://download.com. Then you need to navigate to this path: System/Library/Audio/UISounds/ and replace one of the default SMS tones with your custom one (your custom one will need to be named the same as one of the tones in that folder, and simply "overwrite" that tone).
I believe that is the correct path for OS 3.0.x - I don't have SSH access right now, so hopefully someone can verify or I'll verify when I get home.