Scorsese begins his movie with the last song the Band performed that day because he is establishing that the subject of The Last Waltz is not primarily the Band or its members, but the songs themselves. By giving the emotional payoff for the players right at the top of the film, Scorsese allows the audience to concentrate on the music that fills the rest of the film. Robbie Robertson, Levon Helm, Rick Danko, Richard Manuel, and Garth Hudson each have memorable moments in front of the camera during Scorsese's informal interviews, but what emerges is less a document of a band breaking up than a tribute to the glorious music these men are capable of playing.
The key to the film can be found in a short moment about 45 minutes into the film -- a backstage performance by Manuel (harmonica), Danko (fiddle and vocal), and Robertson (guitar and vocal) of the standard "Old Time Religion." As Danko and Robertson's voices intertwine, the guitar keeps the rhythm, and the fiddle makes a glorious sound. Yes, the Band certainly investigated American roots music like "Old Time Religion," but in this context the song takes on a broader meaning -- the religion is music. In this intimate performance Scorsese's camera illustrates both the passion the performers have for their religion, as well as the emotion the director himself has for it. The rest of the film's performances are dedicated to the Band performing for others, but this moment gives the audience a glimpse of these talented men in the equivalent of prayer.
Scorsese's restless camera is a good match for the music. the Band often traded lead vocal duties within songs. Note how the camera movement during "The Weight" is both kinetic and precise, finding Mavis Staples, Rick Danko, and Pops Staples just as they begin their respective verses. An impressive marriage of visuals and sound, The Last Waltz is a glorious document of our recent musical past.