I second The Dance. IMO, it's one of the best live performances I've seen of any band. I would recommend it strongly. Besides Buckingham's guitar playing being at a zenith, I found the addition of the marching band later on in the film to be a nice touch. McVie and Nicks are also in excellent form performance-wise in The Dance.
Third recommendation for The Dance, but my favorite track is Silver Springs. One of the greatest live tracks ever recorded IMO. The video only adds to the enjoyment.