I'm slowly beginning to build a collection. Here're some of my top picks:

Suede - Love & Poison @ Brixton, 1993
Underworld - Everything, Everything, 2000
Placebo - Soulmates Never Die, Bercy, 2003.

Picked Suede since it has Bernard Butler before he left the band. Never came out on DVD, but I managed to snag a dodgy VHS. Very much worth the money, even though it doesn't have anything from Dog Man Star.

Underworld, since it has a separate bit where only the background screen animations, designed by the group themselves, play along with the music. Nice to put up on a flatscreen during a party when you don't want bother with strobes.

Placebo - I didn't really care much for the band till I watched this. While some of the shots of Molko playing guitar are a bit suspicious-looking, given that there's very obviously a guy in the background alternating between guitar and bass, the performances, camera angles and lighting are still fantastic.