Those little walking things are kinesins - they are used for transporting vesicles of goodies up and down axons. You can see a more chemical-y video here and there's apparently a whole homepage for kinesins here.
The "little walker thing" in the cell animation video you linked is a molecule called kinesin. It drags vesicles ("rubber bag") along microtubuli to direct the cargo in the vesicles to a particular region of the cell. I explain it here, with relevant wikipedia links.
Mark Frauenfelder is the founder of Boing Boing and the editor-in-chief of MAKE and Cool Tools. Twitter: @frauenfelder. His new book is Maker Dad: Lunch Box Guitars, Antigravity Jars, and 22 Other Incredibly Cool Father-Daughter DIY Projects