Sanjay and John have done a great job of putting together some short screencasts for CRM 4:

Microsoft Dynamics CRM 4.0 Office Communication Server 2007 with Sanjay Jain

Microsoft Dynamics CRM 4.0 Multi-Language User Interface (MUI) with Sanjay Jain

Microsoft Dynamics CRM 4.0 Multi-Currency with Sanjay Jain

Microsoft Dynamics CRM 4.0 : Data Migration Manager with John O'Donnell

Microsoft Dynamics CRM 4.0 : Installation with John O'Donnell

Microsoft Dynamics CRM 4.0 : Report Wizard with John O'Donnell

Feel free to spend a few minutes on each checking out some of the new features.

Also, if you are exploring Dynamics CRM 4 and would like to see some developer or integration features on the 'small' screen then please let us know!