I wanted to add this to my reply but the dang edit timed out. Anyway, a couple of my favs are ...
Eric Clapton - One More Rider, One More Car (great audio & video)
Cream - Royal Albert Hall '05 (great audio & video)
Jimi Hendrix - Live From Woodstock (very good audio, so-so video ... hey it's from 1969!)
Page & Plant - No Quarter (very good audio & video)
Collective Soul - Home (very good audio & video)
Los Lonely Boys - Live: Texican Style Live From Austin (very good audio & video)
AC/DC - Live From Donnington (great audio & very good video)
Best Of Soundstage - Season One (great audio & video)
And of course 'Hell Freezes Over', 'The Dance' and Rush 'R30' are excellent.
Jerry Garcia - Live From The Shoreline
BB King - Live By Request
Eric Clapton - Live From Hyde Park are good DVDs ...
If you like the blues, 'Lighting In A Bottle', Otis Rush & Friends 'Live From Montreux 1986' and of course any of the Stevie Ray Vaughan DVDs.
There are certainly a few more in there I must have forgotten. (The Last Waltz!)