I have a couple, one of which is mentioned previously:
1) "The Concert for George" - Beautiful
2) "The Talking Heads: Stop Making Sense" - One of the all time great concert films
Also, the "Led Zeppelin DVD" is a great one. Worth it just for "Moby Dick." John Henry Bonham RIP.
Geez, I almost forgot "Pink Floyd Live at Pompeii" and "The Who Live: The Isle of Wight" like I don't watch them once every couple of weeks or so.
And for the love of all that is RAWK you must get "The Kids are Alright."
Mark