I think the absolute "must see" for any Bowie fan is the "1980 Floor Show" filmed for the Midnight Special back in 1973. The film is wedged in between the Pin Ups album and the Diamond Dogs album. It was filmed at the Marquee Club in London and was meant to be a promotion of the Pin Ups album, and had "hints" of the Diamond Dogs album in which he was starting to record at the time.