well first off there's this bbc television series that derek bailey put together on improvisation. its available online from ubu:
http://www.ubu.com/film/bailey.html
which is fascinating.
another, from those fine folk at ircam:
ecoute/listen
http://www.imdb.com/title/tt0835066/
is great fun...
the devil and daniel johnson---while fanboys shouldn't make docs about those they more-than-admire, this film is still cool....
we jam econo--on that most excellent band the minutemen
http://www.imdb.com/title/tt0446071/
pennebaker has made a number of fine films about music:
monterey pop (this is still my favorite of the rockdoc genre, mostly for the last half hour, which features an amazing raga played by ravi shankar and a tabla player of a highly refined level of excellence)
ziggy stardust and the spiders from mars. lovely lovely.
there's another dylan documentary too--i saw segments at a conference he was at last fall----check here:
http://phfilms.com/
more generally:
http://www.imdb.com/name/nm0672060/
turntablism:
scratch
http://www.imdb.com/title/tt0143861/
electronics:
moog
http://www.imdb.com/title/tt0378378/
not docs:
dancer in the dark:
http://www.imdb.com/title/tt0168629/
24 hour party people (manchester scene, around factory records)
http://www.imdb.com/title/tt0274309/
meh...
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and hukkle, which so far as sound design goes is, as they say, the shit:
http://www.imdb.com/title/tt0289229/