I watch music documentaries constantly. Some of my favorites are;

Man In The Sand - Billy Bragg/ Wilco recording Woodie Guthrie Songs

R.E.M. Tourfilm - Great concert film from the '89 Green Tour

U2 Go Home - Live at the Slane Castle in Ireland

Wilco - I'm Trying to Break Your Heart - Documentary from Yankee Hotel Foxtrot, I think every band should watch this.

Buena Vista Social Club - just fantastic, see this if you haven't already

Old Grey Whistle Test and the Later! series has some amazing performances from some legendary people.

The Road to Memphis - another Scorsese Blues doc.

the Classic Album Series of DVDs, Songs in the Key of Life and Joshua Tree are the two I watch most often. It's all footage of the musicians talking about and listening back to these classic albums.

Springsteen - Wings For Wheels. Bruce and the E Street band talking about Born To Run as it was re-released for the 30 year anniversary. The audio and footage of them recording that masterpiece is amazing. Oh! and the extra DVD with a full concert from '77 in London is fantastic

Chet Atkins a life in music, I think that is what it's called. Really interesting stuff, and great guitar playing.

Does Everyone Stare - Steward Copeland took all of his Super 8 footage from his years in the Police, put it on his Mac, edited it, did the voiceover and released it. It's awesome.

Rolling Stones - Gimme Shelter - c'mon, this thing is on top of the pile, it's great.

Yo Yo Ma - Appalachian Journey - a great performance by Mark O'Connor, Yo Yo Ma and Edgar Meyer of Appalachian folk songs on cello, doublebass and violin. Beautiful music.

one of my all time favorites! Concert for George, Eric Clapton put together a tribute to George Harrison about a year after he died.

Stevie Ray Vaughn - Live at El Mocombo - this type of performance is why this guy is a guitar god

Runnin' Down A Dream - The new Tom Petty documentary is spectacular. The footage of those southern teenagers hopping in their van to drive to California and knock on the doors of record labels is unbelievable. The career he has had and the decisions he made in regards to his career are admirable. And the music is fucking awesome. (bonus dvd with full concert is almost as much fun to watch)

I am going to think of some more later. I could watch music movies and nothing else and be happy.

No Direction Home- Scorsese Dylan documentary is great

Don't Look Back is pretty awesome and makes Dylan look like an ass.

The Beatles Anthology is just great

The Language of Music is a doc on engineer Tom Dowd

The Untold Story Of Rock n Roll is an amazing history of rock doc

Theremin: An Electronic Odyssey

Jazz- by Ken Burns

Woodstock is wonderfully made

Wingspan  is a pretty awesome tale of Wings and how they started out as a small "indie" band with no promo that Macca was in the band

1991: The Year Punk Broke tells a great of a European tour of Sonic Youth, Nirvan, Babes in Toyland, Dinosaur Jr., and more

I agree with Duncan on- 

I am trying to break you heart, Give Me Shelter and Concert For George

It may not be as thorough as the Anthology, but I was so blown away the first time I saw The Compleat Beatles that it made me an instant addict at 15.

I also love The Band's film of their swan song,The Last Waltz. Reading Bill Graham's biography and learning the story behind the movie made me love it even more.

Similarly to The Compleat Beatles, I got an instant addiction to Brian Wilson after watching Endless Harmony. I probably have every Beach Boys-related documentary/concert video and that one still gets me.

This one is a little out in left field, but another music video that had a great impact on me was Adrian Belew-Electronic Guitar. This was one of those DCI instructional videos from the early 80's and it featured King Crimson's Belew demonstrating his effect/guitar synth rig. It's how I learned to make rhinoceros and seagull noises with my guitar!

Another great one that I pulled out last weekend is Moog the documentary on Robert Moog and the early days of analog synthesizers. It goes hand in hand with the Theremin documentary that Michael mentions.

Another recent one that I saw which was pretty heavy is The Devil Versus Daniel Johnston. For those unfamiliar with him, he is a gifted but troubled singer/songwriter who has battled many demons through the years.

I recently caught parts of the new Who documentary, Amazing Journey and was really impressed with the interviews they captured, especially when dealing with the recent passing of John Entwistle.

Roger

"despite Barenaked Ladies being a band that makes me want to murder people"

Hilarious and true!!!!

Hey that's Ron Sexsmith in that video as well.

Now you all know what you can get me for Christmas.

Oh, yeah, and I got Tweedy's "Sunken Treasure" DVD as a gift last year, and had no expectations for it. It documents a short, solo, acoustic tour of the Northwest in early '06.

The film blew me away. The filmwork is gorgeous, the portrait very personal and intimate, the performances candid. It really showcases what Tweedy brings to music. Glen Kotche's appearance also demonstrates how amazing this guy is.

Highlight: "Rose Acuff" at the end, where Tweedy steps away from the mics and hollers the song out to the blackness of the little theatre.

And ditto, Duncan, to watching music documentaries all day every day. I even enjoy watching films on bands I don't like.

I saw that, but didn't know who he was. Someone I should know about?

This brilliant thread just knocked an old, pleasant memory into my head about documentaries.

Back in the early '80s, when I was in junior high/entering high school, we used to go to all-day concert film shows at EM Loew's (Palladium). We'd spend an entire Saturday watching back-to-back showings of some of the films listed here: Monterrey Pop, Woodstock, Song Remains the Same ("Does anybody remember laughter?"), Kids Are Alright, Tommy, Quadrophenia (with Sting as the Face/Bellboy), Jimi Hendrix: The Film, etc.

About 50-100 people would crowd in, smoke some butts, and sit there for hours.

Goooooood times!!

Charter On Demand has a great section--- a channel called Concert TV that has pretty relevant, up to date concerts and profiles (Spoon, Kaiser Chiefs, Ted Leo)and some older stuff (The Who), they also have a catalog of late Night with Jooles Holland, which is a music show in the UK--everyone from Elvis Costello to Pj Harvey to Kings of Leon...and it's free-- well cable's not free but you know what I mean.

Gov't Mule - "Rising Low" They filmed this in the studio after their original bassist OD'd and were making their next album. Instead of finding a replacement, they picked all of Allen Woody's favorite bass players (such as John Entwhistle, Jack Bruce, Larry Graham, Bootsy Collins, Jack Cassady, Phil Lesh and Willie Weeks to name a few) and each one recorded one track. It was filmed by Mike Gordon (of Phish) and a lot of it revolved around musings of bass and how it affects everything! My favorite scene is Mike Watt describing how he plays bass with his "flipper".

OK, one more.  DIG featuring The Dandy Warhols and The Brian Jonestown Massacre is an entertaining watch.  You've gotta love the fight onstage at The Brian Jonestown Massacre's record label showcase gig.  I would have signed them in a heart beat!

I used to love that Jimi movie - and owned it for a while - but it doesn't really stand up anymore. The film is so grainy and it relies on limited concert footage. Almost every minute of the guy's concert history is available now, all digitally corrected.

That said, the "Machine Gun," from Berkeley (I think), with the people protesting the war outside, is chilling. I loooove that tune.

And Roger from Music Quest? What a blast from the past. I used to hang around there when I was a teenager. I copied a bunch of Dead tapes for him. He used to give me these generic, white cassettes to make them on.

I used to be in a band with a guy who was obsessed with the RHCP, and we watched Funky Monks several times. I like when they're sitting around cranking Led Zep and comparing notes. Obviously that approach influenced that album, which I burned out for a couple of years. The songs don't stand up for me anymore, but the sonic intensity and sheer creative exuberance do.

There are some missing that I couldn't find on Amazon but here are the majority of the movies mentioned in this thread.

 this YouTube thing is fucked.  How do you post one on here?

Though it is currently out of print, the absolutely best "concert" movie would hands down have to be:
Tom Waits Big Time
http://www.amazon.com/Big-Time-Tom-Waits/dp/6301464834/ref=pd_bbs_sr_2?ie=UTF8&s=video&qid=1197067808&sr=1-2

And the best Punk Rock documentary, also out of print, would has got to be
The Decline of Western Civilization
http://www.amazon.com/Decline-Western-Civilization-Lee-Ving/dp/B0000665S7/ref=pd_bbs_sr_1?ie=UTF8&s=video&qid=1197067103&sr=8-1

And a mediocre film with wonderful music is:
O Brother, Where Art Thou?
http://www.amazon.com/O-Brother-Where-Art-Thou/dp/B00003CXRM/ref=pd_bbs_1?ie=UTF8&s=dvd&qid=1197067900&sr=1-1

And if your a Bjork fan you can't forget:
Dancer in the Dark
http://www.amazon.com/Dancer-Dark-New-Line-Platinum/dp/B00003CXKS/ref=sr_1_9?ie=UTF8&s=dvd&qid=1197068005&sr=1-9

And finally an awesome recent flick featuring music and the lead singer from Gypsy Punk band Gogol Bordello along with a bunch of other great balkan/russian/gypsy type tunes:
Everything Is Illuminated
http://www.amazon.com/Everything-Illuminated-Eugene-Hutz/dp/B000DWMN2S/ref=pd_bbs_sr_1?ie=UTF8&s=dvd&qid=1197069061&sr=1-1

I agree with alot of the mentions here...standouts for me being DiG! and Concert for George, and the Wilco and Dylan mentions.

Alot I will definitely need to visit or revisit (as my memory fails me)...that said, this thread is incredible for me...I need to start NetFlix and cue all these up.

One that I don't think was mentionned, that I find a personal fave I go back to often is "Scratch".... which is the history of hiphop and turntablism.  Love this movie. 

Watching the new Sigur Rós DVD Heima right now. It's a concert from various location in Iceland. Really really really cool.

www.heimafilm.com

surprised no one mentioned Stop Making Sense, Talking Heads' concert film. i watch it on repeat.

I was about to add Stop Making Sense, and also Jonathan Demme's newer one, Neil Young: Heart Of Gold.

Pretty much every other great music film I can think of has already been mentioned. 

- U2: Rattle and Hum

- Rolling Stones: Gimme Shelter

- The Last Waltz- Got me to stop wondering why The Band's music was considered "rock".

- No Direction Home- I'm not really a big Dylan fan, but this was pretty fascinating

- Awesome; I Fuckin' shot that!- Great concert by the Beasties, and the audience cameras gave it a really good energy. 

stop making sense, hands down, is commonly lauded as the best concert film of all time.

..i have to agree.

Yeah, that is damn good.

i vote for "stop making sense"

or

"young@heart" if you don't mind having to pretend you're not crying at the end

the two movies couldn't be more different, though there are t-heads tunes in both