I've seen the movie many times, it's excellent, I especially like the Young Lust and Don't Leave Me Now scenes. I have the original album on vinyl and the Is There Anybody Out There live Wall release on cd in the deluxe package with the hardcover book, I got it on deep discount during a boxing day sale.
I've also seen the Behind the Wall and Building the Wall documentaries and Roger Waters' solo performance of it he did with special guests in 1990.