So you'd love to go to SIGGRAPH, but it's way too expensive/far/don't have time? ( me too ;-; )
(UPDATE: SIGGRAPH 2016 is going to stream some talks and sessions, see the schedule for detailed info.)
The second best thing to actually going is to get an ACM SIGGRAPH membership, and dig through all the material. It's way less expensive than an all-included ACM membership, but it still gives you access to a great number of papers, and all the archived SIGGRAPH talks videos.
Sadly some talks videos are not available, but a great many are.
So I suggest you drop those ~45$/year here and get yourself that ACM SIGGRAPH membership. You'll get conference discounts too, if you happen to be able to go.
That will give you access to a plethora of content, depending on what interests you. In these last few years a lot of Siggraph is about Physically Based Rendering.
You can find on Self Shadow most of the notes and Mathematica notebooks for the Physically Based Shading in Theory and Practice courses, starting from 2012.
On ACM you'll find videos for most of those as well. For example, on the SIGGRAPH 2015 Courses ACM page, go to table of contents and you'll get a list of all the downloadable content for all the courses in that year.
The videos are mostly screen captures, split in multiple videos per course. Approximately 40% of talks hasn't got a video for some reason. Still, there's a lot of great content.
Another interesting course is Advances in Real-Time Rendering.
Another notable resource is the GDCVault, but at ~500$ a year it's a much higher hanging fruit. It's also not exclusively a Graphics conference, so depending if your interests include general game programming/design/business it may be way less bang for the buck.
Generally you'll find many free videos from previous years, and some from the current one. Many teams present their latest graphics advancements and techniques at GDC.
Khronos Group Event Videos
The Khronos Group is generally pretty good at publishing their events videos, for example check out this playlist for the 2016 Vulkan DevDay UK. You can find the videos browsing their youtube channel, or their Event Archives thend to include embedded videos, and also their Presentation Materials page.
Gpu Technology Conference (Nvidia)
The Nvidia GTC has got free videos too, get an account and then browse the session to see the recordings. Many of the talks are about specific NVIDIA tech, and hardware, rightly enough.
High-Performance Graphics is another conference that may interest you. For now you can get most slides for the sessions, not sure if there'll be videos too. In the archives you'll find slides for previous years.
Some information regarding Apple tech, like Metal, are unveiled and discussed at WWDC which is free and easy enough to watch if you can run the Safari browser, or have a Mac/iOS device.
Thus my conference recordings roundup is over. If you have any more I should add, feel free to tell me on twitter.