I definitely would buy Zig and Zag on DVD, if it existed. YouTube to the rescue. Poor quality but still worth seeing. I miss their MTV show - it was a lot better than these two clips. The MTV show had even more banter, silly dancing, and great re-makes of hit videos (strangely often it was 2Unlimited's No Limit).
More, Tori Amos UK funny interview zig+zag 1996. Ever worse quality in this 1994 interview.