I would have listed the same DVD's that Jim Robinson has on his list, but if you are willing to step outside the "live concert" format and just consider an outstanding music DVD, then you must rent or buy "Calle 54".
This film is a tribute to some of the finest contemporary Afro-Cuban jazz musicians (several have died since the film was completed), and is my favorite music DVD. Featured in the film are Paquito d'Rivera, Eliane Elias, Michel Camilo, the Fort Apache Band, Tito Puente, Chano Dominguez, Chico O'Farrell, Gato Barbieri, Chucho Valdez and his father Bebo Valdez, and a host of other great musicians in supporting roles. For those reading this thread, I'll simply say that if you liked Ry Cooder's film "Buena Vista Social Club", then you'll love "Calle 54".
The music from "Calle 54" won a Grammy last year for best Afro-Cuban jazz CD, and I think the film was nominated for an Oscar in its film category. Awards aside, this DVD has outstanding musical performances, first-rate sound, and excellent film production values. It can also give your sound system a real workout.
While I give this DVD my highest recommendation, it comes with a caveat: this may not be your cup of tea if you absolutely hate Afro-Cuban jazz. On the other hand, if you can listen to this DVD without tapping your foot and getting really engaged with the film, you better check your pulse...