Paul Gilbert did some covers on music from those eras in his Guitar from Mars DVD...not quite sure whether the name of d DVD is correct ornt...Well, Yngwie composed in Baroque style but i dun think he played music from those eras...playing classical era music n composing is quite diff...mayb once in a blue moon...
If I'm remember correctly, Alexi Laiho did some covers b4...so does Jason Becker with his infamous cover of Caprice No.5...
The only real valid candidate will be Chris Broderick haha....i noe now he's famous but this guy can really play classical guitar...well d good old blackmore is actually more towards renaissance period...not exactly baroque...
Cheers