Video works here:
http://www.revolvermag.com/news/dream-theater-debut-the-looking-glass-music-video.html
They're all worth checking out, since DT changes up their setlists so much. They're also very conscious about making sure not too many songs are repeated for DVDs. So it really boils down to which setlist you prefer. My favorite is Score, from the Octavarium tour. It features a full orchestra during the second half, where they perform 6 songs including Six Degrees, Octavarium, and Metropolis. The first half is great too and has some rare gems like Another Won and Raise the Knife. Also a pretty interesting documentary on disc 2 as well as 3 bonus songs (Another Day, Great Debate, Honor Thy Father). Hard to go wrong with that.
Budokan is the other one that people point to as their favorites. It's from the Train of Thought tour and has 5 songs from that album (the remaining two are found on Score). It's also kind of heavy on FII material, not sure why. Other highlights are one of the only live performances of Disappear, a really fucking awesome Beyond This Life, and a cool medley of instrumentals. It's a great performance too, though not up to par with Score IMO.
Metropolis 2000 is another great one, featuring the entire Metropolis album, A Change of Seasons, A Mind Beside Itself, and Learning to Live. It's a perfect setlist really, so you can't go wrong with it.
So those are the big three. They're all good so I'd just say check out whichever one has the most appealing setlist. There is also I&W Live in Tokyo/Five Years in a Livetime, which is two discs that document the early (Pre-Metropolis) history of the band. It's a really awesome DVD with loads of features, but it isn't a complete concert like the other ones. Rather it is concert clips mixed with all kinds of different footage. It's one of my favorite DVDs ever though, but if you're looking for a complete concert like Luna Park, maybe save this for later.
The last one is Chaos in Motion but I wouldn't recommend it. Easily their worst DVD. JLB sounds terrible and the whole band sound like they're phoning it in really. It's too bad because it does have a good setlist, including all but 2 songs from Systematic Chaos. But the performances just suck. It's also not a complete concert, but rather a bunch of different clips from various show mixed with documentary footage. The doc stuff is pretty cool though.