I have that "We Are the World" video on DVD, on the LIVE AID CONCERT dvd that was released in 2005 (on the 20th anniversary of the 1985 concert).
I wouldn't say it's the best concert DVD I've ever seen, but it's a great collection of music from the period, and a range of artists that haven't ever been on stage together before or since: Madonna, Queen, Elton John, Phil Collins, Spandau Ballet, Simple Minds, U-2, Nick Kershaw, Adam Ant, the Beach Boys, Crosby Stills and Nash...
The DVD is 10 hours of music (out of 18 hours when aired originally. A lot of footage is either lost or artists like Led Zeppelin didn't feel it was their best work, or releasing it on DVD was a violation of the one-time-ness of the event and those artists didn't authorize their inclusion). I picked it up a few years ago on e-bay for 15 bucks. Money well spent.
