I don't work for the Beeb or anything but I have to say BBC4 is excelling itself lately with its run of BBC Four Sessions - they've already had Beck, Ryan Adams & The Cardinals, David Byrne and Randy Newman and I'm sure there's more to come.
They feature the artist in a special venue (Union Chapel, LSO St Luke's) with a small audience and it's shot really well - you get to enjoy the music rather than have to sit through some hotshot music director wank all his tricks off in front of you. Only problem is, if you're in any way an aspiring musician you may want to avoid the Beck one - he'll just make you eat your own hands with jealousy. Dude's got talent.
Check them out either live or on that iplayer thing that the BBC has.