I don't buy a lot of WWE DVDs, but I've heard a lot of good things about Foley's Hard Knocks and Cheap Pops DVD. Also, if I didn't already have all the WWF matches in my PPV collection, I would have picked up the Shawn Michaels one as well. The Mankind match from Mind Games really needs to be seen if you haven't already, and there looked to be a lot of cool extras on it.
In my opinion WrestleManai XIX has some of the best extras around and the event is great too. I'd also recommend Action DVD. The piece is ok but the extra matches from Raw/Smackdown are great. WrestleMania X7 is still the best event ever, no great extras but still having that event in digital clarity is well worth it. The Hardy Boyz DVD is probably the best piece made for a DVD with great match extras like TLC I AND II, the first tag ladder match and more. Taker's My Yard is a close second with good match extras and a great piece. And finally Triple H's Game DVD-great piece and good extras with the classic Rumble 00 street fight with special commentary and the classic HHH/Steph wedding segment.