I got the Neil Young at Massey Hall CD/DVD package a few days ago. The audio CD is definitely worth getting; great performances of classic Neil songs.
The DVD is an interesting beast; the footage is fairly low quality (maybe shot on 16mm or even 8mm) and it has a lot of grain to it either as a result of the poor lighting, the film stock, or both. While the performances are fairly well shot, there's nothing of the pre-post song banter [NOTE: I've read that the audio is from the Massey Hall concert, but that the footage might actually be from a different concert of similar vintage, and that's why there's no footage of the banter, etc.]
It's certainly an interesting window on what it was like to see Neil play back then, but I'm not sure that it really makes for compelling viewing; I'm not sure that I'm going to watch it again and again.
There is some interesting ancilliary footage, and the 'Extras' are definitely worth a look, if nothing else than to see the person he wrote the song 'Old Man' about.