Most of my favorites have already been mentioned, including
Eagles Farewell I
Peter Gabriel Secret World
Talking Heads Stop Making Sense
Chris Botti in Boston
David Gilmour Remember that Night
Roger Waters The Wall (Berlin & The Tour)
But I enjoy a bunch of others, such as
Dire Straits Alchemy Live (Blu ray, 2 channel audio track)
Heart Alive in Seattle (Blu, 2 channel)
Peter Gabriel New Blood (Blu, 2 channel), Back to Front, and Live in Athens 1987
Dave Matthews and Tim Reynolds Live at Radio City (Blu ray)
Joe Bonamassa - An Acoustic Evening at the Vienna Opera House
Just got David Gilmour Live at Pompei - haven't seen all of it, but loved what I've seen so far.
I have a bunch. They (Concerts) are just about the only physical media videos I buy anymore.