DVD appearances by Snuffy:
Christmas Eve on Sesame Street
Learning About Letters
Sleepytime Songs and Stories
Big Birds Storytime
Elmo's Sing-Along Guessing Game
The Best of Elmo
Elmo Saves Christmas
Elmopalooza
Cinder Elmo
The Street We Live On
Friends to the Rescue (probably... I know he was in some of these episodes, and I know that this release edited some street scenes)
And hopefully he will be on the upcomming Old School box set. I would be surprised if he wasn't included in at least one sketch on that set.
Snuffy also appeared in the following videos, currently not available on DVD:
Getting Ready for School
Don't Eat the Pictures: Sesame Street at the Metropolitan Museum of Art
A New Baby in My House
Alice also appeared in A New Baby in My House, but I don't know if she was in any other videos or DVDs.