Martin Scorsese has a Rolling Stones documentary called Shine a Light coming out, well, I think in 2008 sometime. Here's the trailer in Quicktime 480p and smaller if you're scared to see the crevices in Keith Richards' face with too much clarity. The trailer is good, energetic.
I've always been partial to Scorsese's musical docs. The Last Waltz is fantastic.
UPDATE: Ken asked that I add a warning about the graphic footage of Mick Jagger grinding up against "young-enough-to-be-his-grandaughter (or at least a fifth girlfriend)" Christina Aguilera. Instead of a May-December, this is more March-December. I was just surprised to discover the two had sung together in concert.