Yes in fact "Crazy Little Thing" is available on the Saturday night Live : 25 Years of Music DVD set.
However they also played Under Pressure and stood around with the cast at the end of the show. I posted a DVD version of just the Queen bits last year but I've actually been thinking of posting the whole show. And no I will not remove Crazy Little Thing! Ban me if you wish but that's simply ridiculous when it's part of an entire presentation in a certain quality, and from TV.
So, would anyone like the whole show?