American Memory - The Last Days of a President: Films of McKinley. The Library of Congress supplies a collection of downloadable film clips, mostly from the president's final days. Includes a bibliography.
From the site:
The twenty-eight films of this collection are actuality motion pictures from the Paper Print Collection of the Library of Congress. They include footage of President William McKinley at his second inauguration; of the Pan-American Exposition in Buffalo, New York; of President McKinley at the Pan-American Exposition; and of President McKinley's funeral. The films were produced by the Edison Manufacturing Company from March to November 1901. The company, founded by inventor Thomas Alva Edison, operated from 1893 to 1917.