I'm surprised that this hasn't been done yet in an (albeit new) AV section on a hi-fi forum.
So how about telling us about your favourite music based films?
Some of mine:
The Pixies (including the documentary Loud, Quiet, Loud)
Love - 'The Forever Changes Concert'
The Jimi Hendrix Experience - 'Live at Monterey'
Martin Scorsese Presents The Blues: A Musical Journey