I stopped by my library, as I mentioned, and I went to the videos section, hoping to find something useful. And boy, did I.
Jazz Icons is as of now three series of DVDs with live performances of jazz greats. I have the John Coltrane and Wes Montgomery. I haven't given these deep and full watchings, so I can't tell you that these things are as wonderful as I just know they have to be. There is a preview video available, which I couldn't get to work in Linux.