For Shenmue fans in the UK, check out BBC Four's excellent The Art of Japanese Life. Currently available on BBC iPlayer or at http://www.bbc.co.uk/programmes/b08tvzws/episodes/player.
The three-part series looks at the history of Japan, its culture, its links to nature, modern city life and traditional home life. The series really helps to explain the complexities of Japanese life to a Western audience. It has really helped me understand elements behind the Shenmue series and is a must watch for all Shenmue fans.