I will second Jeff Beck at Ronnie Scotts Live-I have quite a few concert DVD's but this one is the best I have seen and/or heard. Angel (track #10) is a great example of Beck's guitar genius. Both the video and the audio quality are second to none. Tal Wilkenfeld (bass), Vinnie Colaiuta (drums), Jason Rebello (keyboards) make up the rest of the group and all are at top form. Eric Clapton makes a guest appearance for two songs and also sounds great.
Couple others that I enjoy are:
Rory Gallagher-Live at Montreux
Stevie Ray Vaughan and Double Trouble Live from Austin Texas
PInk Floyd Pulse (sounds great-just wish the video editing was better. )
AC/DC Live at Donnington