VideoNote: SuperSphere seem to have taken the first two videos down, which is a pity. I can't find any Don Caballero shows on their website anymore unfortunately. If you can find them, please drop me a line. I'm going to leave the broken links here for posterity anyway.
RealVideo of Don Caballero, live at the Fireside Bowl, Chicago, 1999 (hosted by SuperSphere.com)
RealVideo of Don Caballero, live at the Fireside Bowl, Chicago, 2000 (hosted by SuperSphere.com)
Video clip of the new Don Caballero lineup performing at CBGBs in New York, October 2003 (note: you will have to pay a small subscription free...).
Kirk Jackson is hosting some great live clips of Don Caballero playing in Jacksonville and Orlando, Florida from their last tour:   
Video clips of Battles, live at the Galapagos, Brooklyn NY, April 17th 2003: