A book was written, along with a DVD series, on this called A Royal Family which does a fantastic job of covering who married who, what happened with each child's descendants, their continued closeness as a family and how it was impacted by the two World Wars.
Sadly, the DVD is no longer available and the web site for it appears to no longer be around, but it's worth checking to see if your local PBS station (in the U.S.) will be airing it again sometime in the future. In the meantime, you can always get the book.
I recorded the PBS airings of the show, however I will not be posting all of them. I'm posting the first one, which sets the stage between Denmark, the U.K. and Russia in finding spouses for royal children. Another one of the episodes has been published on YouTube to show the story of the King of Greece.
King George I of Greece and his descendants:
This is a different documentary, it's in Danish, but still very interesting to watch.