I was one of the (very few) people who saw this in a movie theatre. It was a filming of her comedy act on stage with unfunny Don Novello popping up so she could go backstage and change costumes. When I first saw it I hated it. I had never watched SNL so I was completely at a loss at who these characters were she was playing. The only funny part I found was her song "Let's Talk Dirty to the Animals" (which alone gave the film an R rating).
Years later I saw it again after seeing reruns on the original SNL. This time I knew who the characters were and I loved it! I was laughing out loud a few times and came to realize what a great comedienne she was. The only bad part is this comes across as (obviously) a little stagy and Novello's segments are just horribly unfunny. Still it's worth seeing for Radner's comedic talent. However you SHOULD have a basic working knowledge of the characters she played on TV. Otherwise you might not enjoy it.
I give it a 7--Novello is horribly unfunny and the staginess does wear you down.