These are some of my favorites:
NOFX - Backstage PassportThis is no doubt one of the coolest DVDs I have ever seen. It's a documentary but it has more humor, adventure, drama and surprises than most scripted movies. Even if you don't care for (or don't even know) NOFX, this is really entertaining. What it basically comes down to: NOFX is one of the most populair punk bands in the world. They've been selling out the biggest clubs all over North America and Europe for the last two decades and they really got a bit tired of the smooth sailing, so they decided they wanted another disaster of a tour like the ones they did in their early years. So what they did is book a world tour through countries where either nobody knew them (in some of these countries they sold literally zero CDs) or where the show bookers were shady to say the least. This DVD follows them on their tour of mostly South American, Asian and African countries, where they get into one bizarre situation after the other. Star of the show is their road manager Kent, who's either totally stressed or completely wasted most of the time.
Live AidI think I must've seen this one at least a dozen times, from start to finish. These are basically the songs that are the soundtrack of my earliest childhood memories, all performed live at one of the greatest musical happenings of all time (if you ask me, second only to Woodstock).
The Beach Boys - Endless HarmonyThis is the definitive Beach Boys documentary, basically a one-disc Beach Boys version of the Beatles' Anthology DVDs. It tells the story of the band through interviews with all the band members and a whole lot of great clips.
Standing In The Shadows Of MotownThis is a documentary about "The Funk Brothers", the group of session musicians that played on pretty much all the legendary Motown hits. These guys never really got any recognition until the early 2000s, most of the members that died before that time were poor and forgotten when they passed away. Really tragic but very interesting story.