Well if you are talking about live DVDs then, I loved "Rude Awakening" by Megadeth.
Haven't seen many others so, can't comment. Oh yeah, well Tool's Salival DVD. Its actually only a compilation of all their videos, but thats enough to keep you glued to the screen. If you are talking about videos though, its a whole different scene.
Overwhelmed as one would be, placed in my position
Such a heavy burden now to be the one
Born to bear and read you all the details of our ending
To write it down for all the world to see
But I forgot my pen, Shit the bed again...