A useful snippet was provided by Dawa (http://drupal.org/user/136967) for the Video module. The image-attach portion of that module allows you to upload a thumbnail for a video, but the built-in block for "latest videos" only provides the videos' titles.

The link to the post is here: http://drupal.org/node/137560

The PHP code provided by Dawa is as follows, which will list the latest 5 examples. Create a new block, and cut and paste the following code, remembering to select PHP code for Imput format:

$result = db_query("SELECT n.nid, n.title, n.created, v.vid, v.serialized_data FROM {node} n INNER JOIN {video} v ON n.vid = v.vid WHERE n.type = 'video' AND n.status = 1 ORDER BY n.created DESC");

for ($i = 1; $i <= 5; $i++) {

   $node = db_fetch_object($result);
   $video = video_load($node);
   $image = node_load(array('nid'=>$video->serial_data['iid']));     
   $video->iid = $video->serial_data['iid'] = $image->nid;

  if ($video->iid) {
      $output = theme('video_image_teaser', $video);
      $output .= l($node->title, "node/$node->nid", array(), NULL, NULL, FALSE, TRUE);
      print $output . "<br>";
  }
 
}

To choose a different number of videos and thumbnails to display, change 5 to your desired output.