Phish currently releases audio from all of their concerts. They do webcasts of some (all?) of their shows, and usually release a video of one of the songs after. I don't know why they don't sell the video now though.

You can find all their concerts at livephish.com. They also release old concerts of theirs every so often.

I could be wrong on this, but I think you also get a free mp3 download of the concert the day after if you attended the event.