Such videos are widely circulated for propaganda purposes following the event by the groups behind them.
The videos are intended to preserve their memory of their subjects, and to justify and glorify their actions. They may also serve the function of committing their makers to their actions, by making a public statement of commitment that they feel they cannot go back on.
Martydom videos have been common features of Middle Eastern and Muslim fundamentalist terrorism, and most recently in that associated with al-Qaeda.