A British film library has dumped 85,000 historic newsreels
onto YouTube, and there are quite a few for baseball history buffs.
I've found two so far that concern the Sox, including one of the earliest films I've seen: A 1924 newsreel
about an exhibition game in Liverpool between the White Sox and New York Giants, "America's foremost exponents and most highly paid Baseball Teams." They're playing on an all-grass field of some sort.
There are also some great shots of Old Comiskey in this film from 1937
, before there was a scoreboard in center field, and when the park still looked modern and new. Very nice high-quality film, with shots of the field, the arched windows, and the Mack truck plant visible behind left field. Sox manager Lew Fonseca was a big film buff, so that probably explains why he participated in this.
Lots of other interesting stuff in the collection. You can spend hours browsing through it.