I would recommend getting hold of some DVDs of Broadway shows/documentaries/concerts etc, as well as films.
Some good ones I would recommend are;
Broadway shows Into The Woods Sunday in the Park with George Sweeney Todd Company Putting It Together Fosse Victor/Victoria Rent Oklahoma (West End, the NT version)
Concerts/Special galas etc Hey Mr Producer My Favourite Broadway: The Leading Ladies My Favourite Broadway: The Love Songs Sondheim - The Birthday Concert Some Enchanted Evening: Richard Rogers Tribute Gala Chess in Concert Les Miserables (10th or 25th Anniversary depending on which cast float your boat - I would say to watch both ) Phantom of the Opera at the RAH Love Never Dies Bernadette Peters in Concert Liza With a Z Elaine Stritch at Liberty
The Heat Is On: The Making of Miss Saigon Every Little Step Show Business: The Road to Broadway
This list is by no means definitive, but I have the above DVDs and would recommend them. Some are really important in Musical Theatre - certainly the original productions of the Sondheim shows, Hey Mr Producer, Rent, etc etc, and those solo performers' DVDs are also pretty iconic as they are 3 major stars. The documentaries are fascinating for anyone wanting to get into musical theatre, as they show a lot of the casting process. These aren't to watch instead of film musicals, they certainly have their place too, but obviously with the stage production you are getting the show as written rather than messed around with for film.