The Alex Jennings Picture Gallery has been updated to include Alex's work over the past couple of years. Details on "The Queen", "The Alchemist", but also on "Riot at the Rite" and other recent appearances.
See: Alex Jennings Picture Gallery
The British Film Institute has an online film and television archive with cast lists, synopses, pictures and video. They have a page on Ashenden, the 1991 series in which Alex played the lead. The page has a full episode and several short fragments on video, but the video is only accessible to UK students, professors, and archivists, unfortunately.
See: British Film Institute
RSC picture archive
The RSC has an online picture archive where you can find some 20 pictures of Alex in various RSC productions, including the early ones (Hyde Park, Taming of the Shrew):