i second Live at Pompeii, that one is killer.
The Last Waltz (The Band) stands out as another classic one.
Between the Buried and Me's Colors_Live is one of my favorites.
Oh, and I've got the three disc blu-ray of Woodstock, as well, that I've only watched one disc of so far. It's pretty damn cool, though, both as a social artifact and as a live statement of some of the 60s' best acts.