The Rolling Stones: 1963-1969: Music in Review (1963-69)
There are lots of Rolling Stones documentaries and concert films. This is not one of the best, but if you are interested in the early years, this offers nice footage.
Gimme Shelter (1970)
Filmmakers set out to make a standard tour movie and ended up chronicling the disaster at Altamont. The documentary includes footage from the Stones Madison Square Garden concert, but Altamont, both the negotiations leading to it and the concert itself, receive most of the attention.
Rolling Stones: Rock and Roll Circus (1968)
A television special that never made it on air, this circus-themed concert included guest appearances by Jethro Tull, The Who, John Lennon, Eric Clapton, and Marianne Faithful. Great music as well as a classic snapshot of the 1960s.