Cirque du Soleil: Journey of Man in 3D [Source: Amazon]
Though not a dance company per se, Cirque du Soleil's work always involves artful movement and certainly sections that I would consider dance. That said, the film Cirque du Soleil: Journey of Man, which was first released in 2000 and then made available on DVD, is now being released June 7th in its 3D form on Blu-ray disc.
The only scene from the film shot on a set is the opening act featuring Taiko drums. After that, various dramatic locations are used to tell the story of one man's life as a "magical odyssey". Classic Cirque du Soleil and well worth watching in 3D.
Available on Amazon: Cirque du Soleil: Journey of Man in 3D