Probably Pink Floyd Pulse for me ..

Live at Pompei is incredible. I picked it up for four dollars at a used DVD shop :D

http://www.nickcaveandthebadseeds.com/images/godis.jpg
^Terrific setlist (he's like a man possessed when he's on stage), with the added bonus of a fly-on-the-wall documentary about the No More Shall We Part sessions (which, being one of my favourite albums, made it worth the price alone).

That's one of the best anyway...

Peter Gabriel: Secret World

or

Talk Talk: Live at Montreux

Also fond of Thomas Dolby: Sole Inhabitant

http://www.arara.cz/i/imgs_orig/450/34450.jpg

Naturally.

That's a great one. An old coworker loaned that to me a while back and I loved it.

Another good one is The Dresden Dolls Paradise. On that one I think it helps that I've been to that venue several times (heh, I suppose you could also say I've been to the Live ay Pompeii venue too).

Mine would have to be Dream Theater Double Feature
Images and Words: live in Tokyo
5 Years in a live time

Miles Davis Live at the Isle of the Weight Festival is probably the greatest video recorded piece of music I've ever seen.

I don't know how anything ever can compete with this: