If they are on a removable SD card, no problem.
Try not to use the phone in the meanwhile, since anything you write to the device may overwrite the data. Download some data recovery software you your computer - for Windows I've heard people talk about recuva, which I think is free. Either connect the phone in disk drive mode or put the card in a card reader, and use the recovery software to see what you can rescue.
Where it gets difficult is if you have a phone which won't support usb mass storage mode and doesn't have a removable card. If the videos were on phone storage and you can't mount it as a removable disk so that the recovery software can see the volume then I don't personally know of a solution.