I use Amazon for the most part these days. Hard to find much in stores any more since they carry less and less selection of disc based media.
I have collected hundreds of music dvd and blu rays. Love the concert formats instead of the old MTV style music videos. I find I can enjoy the concert music video more often then watching the some movie repeatedly.
I highly recommend Led Zeppelin - Celebration Day (Blu-ray), Pink Floyd - Pulse (DVD), Eagles - Farewell 1 Tour (Blu-ray), Rush - R30 or R40 (Blu-ray), and Ladies & Gentemen - The Rolling Stones (DVD).
There a so many good choices to pick from.....depending on your taste. I keep an eye out on music news sites and bluray.com for upcoming new releases.
Some artists are very prolific about releasing videos and have a large catalog to choose from. The Rolling Stones have a HUGE catalog to pick from. I still have not found any commercial releases by Bob Seger or Boston....too bad cause I would love that.
Happy shopping and patient waiting on the mail. It will be well worth your effort and you will enjoy them for years to come.