A few suggestions:
1. Shoot as often as you can. The curse of the camera is a real thing: when the lighting, sound, image etc. are perfect; the show will suck. When the show is really good, there will be something wrong with the technical stuff.
I have heard the same from many performers, and -- personally -- I have beautiful, professionally shot footage of a mediocre show and I have grainy, underlit footage of the best show I have ever done.
2. A priority is getting on-camera testimonials after the show. These are really, really effective.
3. I strongly agree with David's advice of going with a montage for "retail" clients. Many experienced talent buyers (agencies, bureaus, etc.), however, are not going to care about your montage. They have seen too many performers who looked great in a slick highlight reel only to suck when they got onstage. They don't need (nor do I think they should get) your whole act, but they want 10 - 20 minutes to see what the show is really like.
Fred Becker put out a great booklet on promo videos for magicians...it's worth a read...I think Denny Haney has it in stock (www.dennymagic.com