I mean especially ones where you think the scene gives you a pretty authentic picture of what Vaudeville was like. The only one I can think of is Yankee Doodle Dandy. (The early part, where George Cohan is being raised as a Vaudeville song-and-dance man; his Broadway work is something different.) Any others?
What Ever Happened to Baby Jane.
Would White Christmas count?
I think all of the Hope/Crosby Road movies have Vaudville-style numbers in them, though they take place in exotic markets, parties, carnivals, and such rather than in an actual Vaudville show.
In Just Imagine (1930), a vaudeville entertainer finds himself in the incredible world of 1980, where he performs a number that, for some inexplicable reason, the audience seems to find amusing.
(If you want to see what life in 1980 is really going to be like, try this clip , starting at about 1:25.)
It isn’t quite what you seem to be after, but a reasonably large number of the short subjects released after the start of sound (those by Vitaphone come to mind) use vaudevillian performers, offering a clue as to the talent of many performers, and the diversity of the acts involved.
I was going to mention Minsky’s also.
A number of WC Fields movies (I think the Old Fashioned Way, at least) include his juggling act.
Harry and Walter Go to New York is about two vaudevilleians who try their hand at bank robbery.
Field’s The Golf Specialist is a filmed version of his vaudeville act.
“Who’s on First” has its origins in vaudeville, as did “Niagara Falls – Slowly I turn.” Both were done on film by Abbott and Costello, and the latter also by the Three Stooges.