Here's my top 5 of the most important movie releases by Prince. It includes both motion pictures and concert movies. Not all of them are exactly easy to track down on DVD and/or in good quality. But it is possible and very much worth it. The list below is ordered chronologically. Here we go:
1. "Purple Rain" 
Prince's breakthrough movie. The one that rocketed him to the top of the pops worldwide. One of the best music dramas ever made. Very "eighties" when you watch it today but still excellent. Especially the music scenes and the music itself kicks so much ass. Make sure you get the "20th anniversary 2 disc". It has some interesting bonus material.
2. "Under The Cherry Moon" 
Prince's second movie accompanied by the "Parade" soundtrack. It was filmed in black and white and most common viewers and critics hated it. It is a bit of a comedy and really funny too. Very enjoyable even today and the music is excellent. But maybe you have to be a diehard Prince fan to fully understand and enjoy it.
3. "Sign 'O' The Times" 
One of the best concert movies ever made. Filmed partially live in Holland and partially at Prince's studio complex Paisley Park. Excellent music and excellent concert pictures. I caught the show live in Gothenburg in 1987 and this movie perfectly catches what it was all about. Released on DVD in a somewhat mixed quality. You better check the quality before you buy it.
4. "LoveSexy Live" 
The best music live show ever created. This movie was filmed in Dortmund in 1988 by the German television and it is freakin' excellent. The picture quality is obviously not as great as it is on "Sign 'O' The Times (1987)" but the stage setup, the track list and the band more than makes up for that. I caught the show live in Copenhagen in 1988 and it still stands as the best show I've ever seen. This movie has not been officially released on DVD so it may be a bit difficult to obtain a copy of, but not impossible.
5. "The Undertaker" 
The best sounding live tracks by Prince. The sound quality is outstanding. It was about to be released as a CD back then but was unfortunately pulled, so you have to either use big money to get an original CD, or perhaps better find a bootleg copy. Not officially out on DVD but bootleg VHS to DVD transfers do exist.