This is a basic list of (almost) all officially released live recordings (both audio and video). Please note the list is NOT complete, I have not listed all the versions and I have intentionally omitted some unimportant videos (such as the Queen's Day from 2002). My goal wasn't to write a 100% accurate list. I just wanted to give you an idea about what's out there and what's worth watching.
If you're a beginner and not sure what to buy, here is my advice: buy Live At Wembley (the complete version with bonuses), Queen On Fire and Queen Rock Montreal . If you like Brian's solo work then Live At Brixton is a great video (but available only in old formats - laserdisc and VHS). And if you're curious about what Queen sound like without Freddie then Super Live In Japan is a nice video with plenty of bonuses.