A good place to start is to check out https://exploit-exercises.com, specifically the Protostar VM. You can find my mirror of these challenges including all the videos I have created about it here: LiveOverflow - Protostar.
The Protostar videos are part of a bigger course about learning binary exploitation (and generally how computers work). So if you are interested in Linux, what it means to have a kernel and how to learn assembler for reverse engineering, check out this playlist.
If you are more interested in web security, make sure to checkout some of the few videos I have done on that. I'm especially proud of the Angular JS snadbox bypass series.
Another big part of what I do, is playing CTFs - and you can find a lot of challenge video walk-throughs in the CTF section. I would also like to specifically point out the riscure embedded hardware CTF - I covered every challenge that I have solved, including hardware attacks like power analysis side channel and fault injection.