I have all 3:
The black one, ported over from VHS boxset that came out years ago, has the most bonus features, most videos up to that point (just after Evil Empire). The set list taken from about 5 different shows captures some intense stuff. Best part is that lots of different directors as they each do about 2-3 songs so you get a good mix of camera angles. Lots of early RATM stuff here!!
Battle of Mexico, good production but suffers from the editing fellows trying to be smart and slo-mo shots in almost every song, not my cup of tea at all and distracts from the delivery of the entire show! Has small interviews with the band. Other than that quite an intense show, good crowd!
The Olympic arena one is top notch, has the best production of them all and a bonus of the Nation Convention gig that blows the socks off anything they ever did, RATM at their best!! Bombtrack Video too.
I love them all, they all have stuff be it songs or just typical RATM style that is missing from the other, for me though to have one I'd choose the Olympic arena one. Their last show together and worth having for the bonus Nation Convention gig that has to be seen to be believed, very militant
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HIH