Wow, this thread has been here for quite some time, and I hadn't noticed it until now, after seeing the thread about Sesame Street getting some new changes (and I think it was mentioned there that there'd be a new Cookie Monster segment).
I wonder, if this is replaced, if past segments will continue to air occasionally. It'd be a shame for this to go right away. Although very few recurring segments besides Elmo's World (and it looks like Elmo the Musical has started to get this treatment as well) have had their own spotlight DVDs, I really hope that they put out a Cookie's Crumby Pictures DVD. I wonder if they could fit all of them on one. At first I was thinking that it might be unlikely after the segment is dropped, but then again, we've still gotten one new Elmo's World DVD each year since EW was dropped (and all but one have been released on video by the time the segment was dropped). I don't think there's been many video releases of these yet (I'm pretty sure the only ones on DVD are on the DVD releases of full episodes).
I'm surprised about the "too many movies to spoof" excuse. I'm actually surprised that they can come up with so many cookie-related parodies of so many films, especially since the majority of segments spoof current/recent films.