The last really great one I saw was the Smashing Pumpkins DVD
If All Goes Wrong
I though it was a brilliant take on an artist being stubborn and doing what they think is right for them artistically regardless of the backlash of fickle fans who can't move along with them. Some great new SP music, or was new at the time, and great commentary on music as an art in general.
One surprise, being that I'm not a huge U2 fan at all, is after getting the
Rattle and Hum DVD for wicked cheap, I actually played it and they had some pretty cool moments musically.