Prince - Sign O The Times
Recommended it to Goof, no idea if he's watched it yet. As a Prince fan this is immense but even if I wasn't a fan I'd still say it's worth watching. It's a live concert but the audio wasn't good enough so they rerecorded it at Paisley Park. If you like Prince or the Sign O The Times album it is a must see imo.
Also if you like Bowie, the Sound and Vision documentary on YouTube is great.