I do both! I often tune to itpro.tv in the morning for entertainment (or "edutainment"). I'm usually doing something else at the same time, so I'm not completely focused on the show, and don't take notes. But I sometimes ask questions in the chat room and generally learn something. The between-episode chatter is fun to watch, though unfortunately sometimes muted.
When I want to really study some topic, I'll view a series from the course library and take notes as I watch. The process of taking notes requires mental processing that helps with deep understanding of the concepts. I will often pause the video while writing the notes so I don't miss other important points. I'll also pause the video when they reference a web resource or a concept I want to brush up on so I can do some personal research before continuing.
I've also tried downloading the audio to listen to while driving, but there are so many interesting podcasts out there that I listen to them instead.