Coheed & Cambria - Neverender. 4 nights in New York back to back, playing all four of their albums up to that point. Brilliant.
(Maybe slightly biased because I was there.)
Also love Through the Never from Metallica. The "movie portion" is a bit naff but the concert film itself is fantastic! I remember seeing it in 3D IMAX in Dublin & nearly being blown out of my seat it was so loud!