Depends what you are looking for really, I would recommend getting some of the classic PPVs rather than any of the "best of X" stuff, generally speaking. The best of the Ladder match DVD and the best of Mick Foley are good ones, but it does get a bit repetitive watching the same kind of match over and over again, though there are obviously some really awesome matches to be had on them.
See if you can get hold of something like Wrestlemania 17 or Wrestlemania XX, or any of the PPVs from around that time I suppose.
I am quite interested in getting the recently released best of Smackdown DVD, as that looks to have a load of great stuff on it. The best of RAW is another good one which I have, has a load of really interesting features and interviews as well as the matches.
Edit: just realised you didn't want WWE ones, try one of the ones about the stories of the monday night war perhaps...or something like that, I dunno really. I have a load of old ECW DVDs which are pretty awesome, but I don't imagine they are readily available much these days.