Sets, arithmetic, and introduction to proofs are covered in MathDoctorBob's video course Math Major Basics.
More group theory videos:
Modern algebra, online course by Benedict Gross, includes video.
Group Theory Videos by Ladislau Fernandes.
Other online notes:
For completeness, I've provided links to several other online
course notes on group theory.
Group Theory Notes, by Donald L. Kreher.
Notes on Group Theory, by Mark Reeder.
Group theory by J.S.Milne.
Group Theory via Rubik's cube by Tom Davis.
A partial list of more
advanced and fast-paced online books on group theory and algebra:
Paul Selick's algebra course.
Abstract Algebra by Robert B. Ash.
Abstract Algebra by Paul Garrett.
Notes on Algebra, by Marc Culler Section on group theory.
Class notes for modern algebra by Matt Douglass