These movies can be unlocked in the game by different methods.

Movie	How to unlock
"Goodbye My Sweet" Part 1	Unlocked after you finish the Prelude (Intro level)
"Goodbye My Sweet" Part 2	Progress through the game 70%
"The Evolution of Sly" (unused ideas for the games)	Complete at least 90% of the game
Dimirti's Greasy Sweet Remix Music Video	Complete the game 100% (buying the power-ups isn't counted for the percent)
End Credits	Beat the final boss (obviously)