He's using the Harmonic minor scale which consists of 1 2 b3 4 5 b6 7. Simply ascending or descending in note groupings of 4.

In the arpeggio section he's using regular minor chords (1 b3 5) and diminished 7th chords (1 b3 b5 bb7).
I saw a thread about intervals a while ago, cant remember what to search for it. Can someone tell me where to go to learn about intervals?

Your mother likes it ruff, Trebeck.
I have a really basic lesson on intervals. Check out the beginners link in lessons and look for The Basics of Intervals. Part 1. I hope that helps