Lots of great comments and suggestions, and overall I'd agree with a lot of the posters. My personal list would probably include a lot of the obvious, including Hedwig, Spinal Tap, Rock and Roll High School, etc. But I haven't seen any mention of two prototypical Rock movies from the late 60s - Wild in the Streets and Beyond the Valley of the Dolls. They both came out of the great low-budget quicky teen fad movie tradition (a tradition that was later resurrected for R&R HS).
Wild In the Streets, from '68 I think, concerns one Max Frost, a Rock God who gets into politics, doses the DC water with LSD, lowers the voting age to 14, and gets himself elected President. Following which, of course, he locks up all the grown-ups in Concentration Camps. (wouldn't you?) Max's big hit single is the Mann-Weil proto-punk gem "The Shape of Things to Come," which makes the Soundtrack worth digging up.
Meanwhile Beyond the Valley of the Dolls came along a couple years later, apparently the first "major studio" release from the king of the T&A quickies Russ Meyer, along with a sometimes hilarious screenplay by young Roger Ebert. The movie's tagline - "The world is full of them - the super-octane girls who are old at 20 ... if they get to be 20!" says a lot about what you're in for. It's a pretty convoluted story but it features all those great trashy Russ Meyer elements, along with a much stronger (but just as dated) collection of songs on the soundtrack.
Needless to say, neither soundtrack album is available on domestic CD, but they're both worth digging up from a collector's store or import dealer if you're in need of the perfect gift for your aging "High Fidelity" geek friends...
Seems like the main issue with rock movies overall is, the great dynamism and shared passion of a great rock show just doesn't translate to a movie or tv screen, which is a more attenuated viewing experience. The concert sequence in Rock and Roll High School is great, but only because it's a reminder of so many great Ramones concerts. In fact the first time I saw the movie was as the opening act to a Ramones show... And this also kind of explains why so many people point to Stop Making Sense as one of the greatest concert films ever - because it does a better job than other movies at capturing the experience of that particular show. Talking Heads shows were as strong on intellectual appeal as visceral rock power, and a movie can do a much better job at recreating that intellectual stimulation.