I don't know if The Last Waltz is really the best concert film of all time (Stop Making Sense, maybe?), but it's definitely close, although it has the benefit of direction by Martin Scorsese, which generally helps. If you're a fan of Americana at all, however, The Last Waltz is a must watch, not just for featuring a ton of songs by The Band, who were performing live for the last time (sort of), but because the group performed as the backing band for Bob Dylan, Muddy Waters, Dr. John, Van Morrison, Joni Mitchell, and for some reason, Neil Diamond. It's just a great movie for people who love music, and I have to imagine that it'll look great on the Fox's big screen. Even though you should probably be mildly insulted by the ticket prices for movies at the Fox, this should totally be worth it.
The movie's trailer: