Here are some of my favourites in no particular order:
Loreena McKennitt - Nights from the Alhambra - great picture and sound
Peter Gabriel - Growing Up Live - great picture and sound
Elton 60 - Live at Madison Square Gardens - great picture, sound, long concert with excellent songs choices, and a pile of bonus material
Diana Krall - Live in Paris (best of the Krall ones IMHO)
David Gilmour - In Concert (my favourite of the Gilmour DVDs). A little more stripped down. Awesome.
Pink Floyd - Pulse - excellent concert all the way around.
Keb' Mo' - Sessions at West 54th - great blues guy with guest appearance by Dr. John
Dave Matthews Band - The Central Park Concert - just a slight hair bright, but excellent music and quite dynamic
Roger Waters - In the Flesh Live - excellent all the way around.
James Taylor - Live at Beacon Theatre - still one of the benchmarks for sound and picture. His backup singers are amazing.
James Taylor - MusicCares Person of the Year Tribute - great performances by pile of guest artists and James as well
Jamie Cullum - Live at Blenheim Place. This young guy can play and sing pop styled jazz and standards in a unique and very entertaining way
Tony Bennett - MTV Unplugged - classic Tony done really well.
Van Morrison - Live at Montreux - Two discs with a concert from '74 and one from '80 (both have excellent music and really good sound for the time)
Ray Charles At the Olympia - good performance by Ray
Norah Jones - Live in New Orleans - solid performance if you like Norah's style
Oscar Peterson Trio '77 - Oscar with both Ray Brown and Niels Pederson trading off on bass - video quality is lacking, but sound quality really isn't too bad at all. But the musicianship is absolutely outstanding.
Sara K - Nautilus Tour 2002 - I have this on order from CDBaby and know it will be excellent as the CD from this session "Are We There Yet?" is absolutely stellar.