For a fun movie to watch, I like Stop Making Sense.
It was very well done, and is a concert, but one that was planned out like a movie (storyboard, scenes, lighting, transitions all planned out). added benefit - you can play it in the background at a party and you'll notice a few people wanting to pay attention to it .. for the others, it's background music. smile

For a fun look at a musicians life on the road (or not so fun) One Trick Pony comes to mind, mainly due to having 'actors' named Steve Gadd, Eric Gale, Richard Tee, Paul Simon, etc.

They made a nice album by the same name and followed it up with a movie that took a deep look into all it takes to support such an endeavor, including the sacrifices at home, touring, cancellations and such. It's not a documentary, it's a scripted movie, but uses some tour footage, I found it interesting due to the subject.

I'm sure others have better ones ..

I do not work here, but the benefits are still awesome
Make your sound your own!