Four of my favorite harmonica players: Peg Leg Sam was a harmonica player as well as a comedian, he has a really fantastic and unique style of singing and playing. He lost his leg and gained his scars in a fight with an alligator while hoboing. This clip comes from a documentary about him entitled Born for Hard Luck
Sonny Boy Williamson was another fabulous harmonica player who was known for playing with Muddy Waters and later started his own groups playing all over America and Europe. He is influential in beginning the electric blues movement that led to rock’n roll, but I really like this video where it’s just him and his harmonica.
DeFord Bailey is older than the above players, and his style is markedly different. He often imitates train whistles, rumbling, fox chases with his harmonica. He was apparently the first African-American to perform on the Grand Ole Opry, check this out!