You can't go wrong with Peter Gabriel. My all time favorite concert film is the Peter Gabriel "Secret World" tour. The DVD pressing of it (even the recent remaster) is a bit grainy, but it's awesome to watch. Absolutely captivating. Having actually *attended* that concert tour, I can say that the film accurately captures what it was like to be there.

Talking Heads: Stop Making Sense. Among the best concert films of all time, but not quite as high on my personal fave list as the Peter Gabriel one.

Pink Floyd: The Delicate Sound of Thunder. I only ever owned this on VHS but it's really good (better than later ones IMHO). A completely different take on the concert film style than the Peter Gabriel one, this does *NOT* make you feel like you were there (I saw that tour, too). Something about the way it's shot, though fascinating and captivating, doesn't give you the feeling of being there. (Damn, just looked, doesn't appear to be available on DVD.)

Not a concert film, but equally captivating to watch, is VH1 Classic Albums: Dark Side of the Moon. A documentary about the album's creation with modern interviews with everyone involved. The best bits are watching Alan Parsons and David Gilmour sitting at the mixing desks in their studios going over the tracks and showing you how each one was layered together.