Towards the bottom of this article on the current spate of music documentaries comes a list of rare documentaries on music luminaries. These movies sound like they'd be fairly interesting:

Eat the Document (filmed 1966) Bob Dylan's 1966 British tour was a flashpoint in rock history: he had "gone electric", and nightly faced baying mobs of livid folkies. Yet the film of the event - directed by DA Pennebaker, who was responsible for 1965's acclaimed Dylan documentary Don't Look Back - has rarely been seen, thus denying the public the chance to see a drugged-out Dylan attempting to interview John Lennon in the back of a limousine. Dylan is verbally decimated by the unimpressed Beatle, then throws up in the back of the car.
Cocksucker Blues (filmed 1972)
It was Mick Jagger's idea to film the Rolling Stones' 1972 US tour, his enthusiasm undaunted by the fact that the last time the Stones had been filmed, at their 1969 Altamont concert, the cameras had captured the murder of an audience member. However, even Jagger was horrified by Cocksucker Blues: a parade of debauchery that includes Keith Richards nodding out on heroin and telling Jagger about how to snort coke properly, and an orgy in a private plane. Suppressed by the group, the film has gone on to become perhaps the most infamous rock documentary in history.

And, if anyone knows where I can find a copy, please feel free to share the love.

Thanks to Coolfer for the tip.