If you like REM, all of their Warner Bros releases are available on DVD-A (check out Automatic for the People). The only DVD-A from their IRS years is "Document"

Also, I don't think you can go wrong with The Who's "Tommy" or the Beach Boys "Pet Sounds", either. Both are available as DVD-A's. Tommy is an SACD also.

I haven't heard them yet, but I hear the Porcupine Tree DVD-A's are spectacular.