I echo the above in regards to having a LOUD playback/monitor. Especially for the drummer to keep sync, and for everyone else to hear over the drumming. (For shots where the entire band is involved. On single-member shots with the others, playback doesn't have to be as loud.)
Well before ever shooting the video, I listen to the song several times. Most often I'll play it back in my NLE and drop markers at key points while it's playing, trying to "see" the video along with the music. I then go back through and make notes at specific times, usually at the major changes in the song.
In terms of shots to get, plan on getting (at minimum) a wide shot of the band playing the song all the way through, and individual shots of each member playing all the way through.
For flexibility in editing, I typically like to get several shots (ie. wides and mediums) of the entire band, from top to bottom (some more stationary, some moving around), then multiple individual shots with different lenses (ie. 30mm, 85mm, etc.) of each individual member.
It's usually never a bad idea to pick up insert shots here and there (ie. close on the guitar player's hand, close on drums, etc, etc.). It may help to shoot these in sync with the chorus or an otherwise repetitive area so you have flexibility with dropping those shots in later.
If you can, grab some overcranked footage as well. And of course any b-roll type stuff that you think you might use later, like the band setting up gear, etc.
If you're not shooting "story" shots to go along with the video, then consider a change in scenery to take place at some point in the song (usually close to the end, but that's all dependent on the song).
Band performance tips:
Have the lead singer actually sing (not just lip-sync).
It also helps if the drummer plays more for visuals than just for sound alone. Not that the movements have to be WAAAAAY exaggerated, but it's typically better if he's more expressive than normal while drumming.
That's some of the stuff I do, anyway. Hope this helps!