The Magic Show, which details the life and loves of an alcoholic magician working a seedy nightclub, opened on May 28th, 1974 and quickly became a broadway hit, earning Henning a Tony award for Best Featured Actor in a Musical, and director Grover Dale a Tony Award for Best Direction of a Musical. The show closed in 1978 after some 1,920 performances.
This version of The Magic Show was filmed for a possible cinema release back in 1980. It's missing quite a few of the songs featured in the original stage show, but Henning's magic performance is mostly intact. It was released on DVD back in 2001, but it's notoriously hard to get your hands on a copy. It's also the only recording of the show that's available to the public, so you'll have to take what you can get.