Volume 4 contains a Tokyo Game Show '99 disc which is crammed with video previews of all kinds of Dreamcast games, including many that were not released here. Below is two youtube videos of all of these clips on the disc. Be warned; squeaky Japanese narration throughout that may grate on your ears.
What you won't see is how they're presented: you select a stand of Sega's Tokyo Game Show area, and a camera is swooped through that area in live action. As you swim past the set up games, you can hit A to view a video of that game. There are also interviews about Space Channel 5, Virtual On 2 and D2. The D2 video is a special screening in a fancy cinema room. The disc also contains some content to download to your VMU.
Volume 7 contains two disc with a whole bunch of playable demos and heaps of VMU game saves. One of the discs contains a bunch of videos, which I have a video of above. Blue Submarine No.6 looks particularly interesting, with stunning cel shaded graphics for it's age. Looked it up and the game is mega rare and expensive. I remember seeing the anime of that once.
There is also a video on there all about the Dream Eye, that sweet digital camera we never got over here, which gives you a good insight into how it works and what you can do with the software. Web cam chat on a console in 1999. Mental. As a further tease, the video also has footage of 'presents' you could obtain if you were part of the same club you would get these demos from. Virtual On soft toys! A D2 figure! An Afro Thunder T-shirt! I want it all! :(
To get a good read up on all of the Dreamcast Express demo discs, check out Segagaga Domain's write up on them.