A year ago I picked up the Cedarmont Kids Action Bible Sings, Bible Sings and Sunday School Songs. We also have the Christmas Carols DVD. While I was a bit disappointed that these aren't sing along/ dance along style DVDs (the kids are just singing and moving, not much to follow) my son really doesn't seem to care. He loves the music and will get out instruments to play along.
Here's a clip of Zacchaeus from Youtube:
The kids clothes and film style may seem a bit dated but again, the Little Guy doesn't seem to notice!