The Last Waltz.

Eddie and the Cruisers

The only one I like is Maiden’s “Flight 666”. Good music and good musicians without band drama. It just shows some honest working musicians without the pretentious rockstar attitude.

I hope you won’t get angry that the one i am going to recommend isn’t a documentary but i will direct you to it anyway because it is a great film, in my book.
It is Vengo(film) from which you will find a clip here.
Edit: IMDB for Vengo

The granddaddy of all music festival movies is Woodstock a nice compliment to it might be Taking Woodstock. If you want to laugh out loud you might try This is Spinal Tap or All You Need is Cash. I have heard that Fear of a Black Hat is also quite funny.

@rebbel Your first link didn’t work for me.

@Jude You don’t get a Wikipedia page with three possibilities?
Well, it’s Vengo on Wiki.

The Talking Heads one Stop Making Sense is excellent. Otherwise, I happen to like Muse’s HAARP, even though I’m not that much of a Muse fan.

Those are both concert films, though.

How about The Last Waltz, featuring The Band, Neil Young, and various other musicians?

Leonard Cohen: I’m Your Man is a great documentary and tribute concert with the Wainwrights, Nick Cave and others singing Cohen songs.

Ah, the Wainwrights (Loudon). I liked his ex-wife, too. The late Kate McGarrigle.

I was going to suggest what @SuperMouse did.

@Jude these are actually the kids – Rufus and Martha. (Love the McGarrigle Sisters too.)

Not Leonard Cohen, but..

Monterrey Pop!
Nina Live!
Tonite Lets All Make Love in London
Ziggy Stardust and the Spiders from Mars: The Motion Picture
The T.A.M.I. Show (“Turn on my V.C.R./ Same one I’ve had for years / James Brown on the T.A.M.I. Show / Same tape I’ve had for years…”) I didn’t know what that Police lyric meant until 2005!

Basically, I just should’ve been around from 1964 to 1974 to go to all these shows.

The Beatles Let it Be movie.

Ditto Woodstock.