I forgot to mention The Last Waltz, which shows the farewell concert by The Band, with lots of guest stars - and intercuts segments of an interview with the band in between every few tunes. (Hear them reminisce about shoplifting food to survive on tour when they were starting out.) The sound quality is quite good for an old film.
There are a few others I've been tempted by recently, like the recent Stevie Wonder concert and the recent Eric Clapton-Stevie Winwood concert, but I haven't picked those up yet.
If they issue the Smithsonian tribute to Paul Simon that aired on PBS in HD, that would also be worth looking at.
The Stevie Wonder tribute concert at the White House last spring was great as well, and also aired in HD. If that comes out on Blu-ray, snap it up.