You might spend the next couple hours on MTV, etc. looking for ideas. I'd shoot with at least 2 cameras - one a bit wide on a tripod, the other handheld getting close and wild angles. Start with them unloading (or even loading) their vehicle, being greeted by fans (if any), setting up and checking sound, etc.
Also - don't be too snug about the sound. The best way to handle it is connect a digital recorder to their soundboard, then use a separate shotgun (or two) pointed away from speakers, to get ambient crowd noise.
Third and even fourth cameras could be pointed at the crowd. Again, one wide, static and mounted, the other manned (whether mounted or not) getting closer shots and pans.
Depending on how important this video will be to them, I'd get them together on a later day, in front of a greenscreen, and have them lip synch, etc. to the recorded music. I'd then jazz the backgrounds up with animations, etc., to match the music, etc. and intersperse these scenes with what I'd shot during the live show.
Any bands in the Oklahoma, Arkansas, North Texas area out there that'd like to hire us to shoot their video???
Good luck, and have fun!