Here's another great one: Zappa's band covering the Allman Brothers' song, "Whipping Post". Those of you with more "mainstream" musical tastes may enjoy this one more than the other one I posted about:
This footage is from the concert video, "Does Humor Belong In Music?" The album/CD version of "Does Humor Belong In Music?" seems to use a recording of this song from a different performance, but I actually prefer the version from the video.