Connections is an excellent series to watch concerning the Industrial Revolution, as is The Day the Universe Changed. Both series cover far more, but typically span in in most parts. Burke is clearly fascinated by the period (he's a bit of a tech geek and fan -- his history with the Apollo program should tip you to that), as well as much of what came before and since. The spanning is actually really useful as you come to a better understanding of why the Industrial Revolution happened where and when it did (though I'd argue, not a complete understanding -- I'm still working at that myself).
The Day the Universe Changed complements and supplements Connections extremely well.
As I noted below, I watched both after having seen The Prize, based on Daniel Yergin's book of the same name, which follows the history of petroleum from 1859 to 1992 (the date of publication). That series was simply fascinating.
If you're interested in the period, I'd also recommend Arnold Toynbee's Lectures on the Industrial Revolution which cover a lot of the economic and social issues of the century following Adam Smith. Robert Ayres is a modern economist who's looked at the role of innovation throughout the period in his paper "Technological Transformations and Long Waves" (1989).
And I also appreciated Ascent of Money (the book). Even if Ferguson is more than a bit of an ass personally.