King Crimson - Eyes Wide Open, the 2003 concert. The other disc (from the 2000 tour) has a more intimate feel, but lacks the emotional power of the latter performance with the new songs of that tour.
U2 - Popmart live in Mexico. A band at their peak.
Talking Heads - Stop Making Sense. I want another DVD of the previous tour too, with Adrian Belew in the band!