Somehow, Shadorne hasn't mentioned "My Name is Maceo" by Maceo Parker. He recommended this DVD on an earlier thread and it has claimed a place in my top four, along with three displays of guitar pyrotechnics:
Jeff Beck PTW (already mentioned)
Richard Thompson in Autsin Tx.
Lindsey Buckingham at Bass Hall.
Thompson's a marvel and his overall performance elevates an otherwise unremarkable video production into something special. Buckingham is a brilliant performer (with an utterly unique voice on electric guitar) and a terrific songwriter, too. The sound/video/production is first rate. Fire these two up up after the Jeff Beck dvd and you will marvel at the range of the guitar as an expressive instrument.
Caution: If you play, you may be forever discouraged at the height of the bar these guys set.