Visu Algo is another site which offers animated visualizations of common computing algorithms. The great thing about their animated sorting algorithms is the ability to display pseudo-code next to the animation and have it run step-by-step, following each line of code as it is processed. Really useful for helping students better understand code.
As its name suggests, Sorting Algorithms features animations of popular sorting algorithms, including Bubble, Selection, and Insertion. The animations for each sorting method are played side by side, allowing a direct comparison. The great thing about this site is that students can select the state of the starting data (reversed, random, almost sorted, etc) as well as its size - this is perfect for helping students compare the efficiency of the algorithms and understanding that there is no generic "best" algorithm for all circumstances.
Using a combination of playing cards and simple computer animations, this video clearly explains the bubble sort and merge sort algorithms step by step. It also compares the speed of each algorithm of data sets of different sizes.
The second half of the video examines the complexity of the algorithms, introducing 'Big O' notation and highlighting how bubble sort's complexity is a major drawback on large lists.
This Bubble Sort video does exactly as its name suggests - explaining the algorithm clearing with the aid of diagrams. Although it is labelled as "Java", it is relevant to all computer science students.
There is also a good explanation of the algorithm (including why it is very inefficient) plus step by step diagrams here.
Harvard's CS50 Merge sort video uses a really clear approach - numbered plastic cups which are moved around as we step through the algorithm. The same approach is used in all of their sorting algorithm videos, making it easy to compare different sorting algorithms.
Joe James' Merge sort algorithm video is also very clear.
For Merge sort in particular, step by step diagrams can be very helpful in understanding the algorithm. TutorialsPoint has a good set of diagrams, plus pseudocode.