Here's a really good documentary about Jack Benny that was done back in 1992. It has lots of great footage and some good interviews with, among other people, George Burns, Fred DeCordova, Carol Burnett and Johnny Carson, with narration by Tommy Smothers.
It runs almost an hour and if you don't have time to watch it all, at least fast forward to the end — or click here and I'll do it for you. Under the closing credits, they inserted an absolutely wonderful spot Benny did one evening playing the violin with Gisele MacKenzie. I just love that clip…