The Vic Firth website is a good place to start. There are free videos and sound files to help you learn.

Mark Wessel's Drum Club also has a fair amount of video and audio:
http://www.thedrumclub.com/

More rudimental videos at the American Drum School:
http://www.americandrumschool.com/rudiments.html

And there's always the one-hour video lessons at the Digivent Drumbeat Archives:
http://www.digevent.com/events/consumer/music/drumbeat/archives.asp

By the way, I don't want to start a religious debate but I would not get too carried away with rudiments at this stage. They're great tools, but there's more to it than that. I practice five regularly: single and double stroke rolls, flam, drag and paraddidle. These provide the basis for most everything else. I would also spend some time learning to read charts at this stage, as it is invaluable in my book, especially if you're learning via the web. The Digivent archives are good there too, with some real, practical reading exercises each lesson.

I agree with Tony here.  The best possible AND cost-effective way to go about your desire to learn the rudiments is to go to vicfirth.com, print off the rudiments and then set up a lesson with a qualified local teacher.  Then, at the lesson, he/she can go through the rudiments with you which will provide you an opportunity to see and hear how each should sound.  Then, he/she can have you try the rudiments and help you with your technique and sound.  I'd also recommend bringing a tape recorder to the lesson to record the instructor demonstrating each rudiment.  

After the lesson, you'll have a good starting point to begin practicing/working from.  If you're comfortable with the level of understanding about the rudiments after the lesson and then attempt working on them on your own, then you can assess the next step of considering a specific book/video or scheduling another lesson.

Good luck with this and be prepared to put some time in on them.  If you do, it will pay HUGE dividends!  Let us all know how you progress and if you have more questions along the way.