Dig, the insight into the music industry showing the different approaches of the Dandy Warhols and the Brian Jonestown Massacre.
New York Doll, the movie I claimed showed evidence of a supreme being, but also very interesting because it shows how even a marginal act can exert immeasurable influence over the years.
Also your class should check out Radiohead's Meeting People is Easy, since this does such a good job of showing behind the scenes of fame.
And you must be aware of Tom Dowd's story, a marvelous documentary, and another doc by Don Was, producer, about Brian Wilson called I Guess I Just Wasn't Made for these Times.
For me personally, my perfect brew of music and cinema can be found in Godard's take on the Stones trying to record Sympathy for the Devil. Amazing movie, not for how it captures the times, but for how it captures the studio, that boring, soul-crunching place.