I did a DVD called Strong Knees for awhile -- various leg lifts as I recall, plus a really soothing stretching routine.
It has a lot of helpful educational stuff which is great the first time. After that, I used a special feature that let me set up a workout that skipped the talking and got right to the exercise.
It shows a lunge on the cover, but I don't recall that it actually has you do any.
Now that my weight is lower and my legs are stronger, I'm doing lunges and squats without knee pain. I have to be very careful with squats to keep the weight back on my heels. I know someone who was finally able to do squats without pain by putting a book under her toes to force the weight back on the heels.