What could this be?

How would I go about doing that?

Depends. Some shafts have a zerk that allows you to grease it. Some shafts are servicesless in which case, you may need to have it rebuilt. Either way, you'll need to pull your shaft. If it can be greased, you'll see the nipple once the shaft is off - grease it and work it in. If not, apply grease to the ball using your finger and work it in. Reinstall and see if that helps.
 
Looking at the video again, is it safe to assume you don't have a SYE? If you don't, just remove the shaft from the pinion yoke and you should be able to work some grease into the double cardan.
 
Should I just look at buying a new shaft?

Not necessarily. Could be you just need to replace the u-joints and/or need to have the double cardan rebuilt. If you did get a new shaft, it would probably serve you better to save up and do a SYE at the same time assuming you are lifted or are planning to get lifted.
 
When I bought it the seller said that he put a 4 in lift and did a SYE. How can I tell if he did do the conversion?
 
When I bought it the seller said that he put a 4 in lift and did a SYE. How can I tell if he did do the conversion?

To be fair, I just assumed you didn't have a SYE. I didn't get a close look at the video as I was trying to listen to it more than anything but, if you have an output shaft yoke, you have a SYE. Also, your drive shaft will be sitting in line with your pinion.
 
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