I haven't got any live recordings, however I'd be far more interested in actual albums than just a compilation of live songs. I always hated it when bands released live albums from different shows all mashed together on one album, really cuts the flow and overall impression of the album in half. The need to get the albums Modern Pain and Unforgiving Mistress. I would also highly recommend Losin' Lately Gambler because if you liked Hair in My Eyes.. then you'll really enjoy this one.
Talking about him live, here's a great clip I found of him doing "The Hockey Song"
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