More a feature-length music video than a movie (and no doubt better appreciated in an altered state), Pink Floyd's The Wall, directed by Alan Parker, can be extremely frustrating if you look to it for narrative coherence or well-defined characters or a plot that you can follow. But if you just get lost in the surreal images, appreciating the excellent, nonstop Pink Floyd soundtrack and the vivid, evocative visuals, it's easy to enjoy the movie for what it is, not what people might have expected it to be before it came out.
And The Wall isn't a musical, or a rock opera, but it isn't a concert or performance film, either. Unlike most music videos, The Wall never features Pink Floyd appearing on camera at all (in the early phases of its development, it was intended to utilize concert footage, but that footage was never used). It's a sort of abstract illustration of the music and the lyrics of Roger Waters, revealing that while the album The Wall (released in 1979) may be generally thought of as a "concept album," its concept is a lot more, er, conceptual than narrative.
You can construct a plot of sorts from The Wall if you try hard enough, although it's not really necessary. Bob Geldof plays the main character, a self-destructive rock star haunted by his past, specifically the death of his father in World War II. The movie mixes scenes from his childhood with a depiction of his mental breakdown as an adult, telling the story in an indirect way. Trying to connect the dots of the plot is extremely unsatisfying, though, and the movie is much better experienced as a series of visceral, immersive moments (there's virtually no dialogue). Each song on the soundtrack gets its own mini-movie, and while Waters' lyrics sometimes match up fairly literally with what's happening onscreen, more often there's just a general mood that's shared between the music and the visuals, and if you get in tune with it, the viewing experience can be very rewarding. Plus, the animated sequences by Gerald Scarfe contain plenty of iconic images on their own, and could easily be enjoyed divorced entirely from the movie as a whole.
Maybe I'm just more forgiving here because I really like Pink Floyd's music (especially The Wall), but I think that despite its excesses and indulgences, The Wall is a striking and inventive film. It's not an approach that would work for just any band or any piece of music, but for an album as epic and weird as The Wall itself, the movie ends up being the perfect match.