@neil I had to think long and hard about this one
Rocky horror, like you, preferably live
Blues Brothers
Kinky Boots
And (at the risk of upsetting people at large) The Lion King live. I saw it in London not long after my dad died and it really stuck with me, though I couldn't watch it again for the longest time. I was brave and saw a gorgeous production in German in Hamburg recently. I cried a lot. It's an emotional connection.