MTV Unplugged - Nirvana
Live at the Point - Christy Moore
Live at the Old Quarter - Townes Van Zandt
Live in Aught Three - James McMurtry
At Folsom Prison - Johnny Cash
Honourable mention to Alchemy Live, which always always does what I want it to do.
Fun fact: the version of My Iron Lung that appears on The Bends was (aside from the vocals which were re-recorded later) recorded off the mixing desk during a gig at The Astoria as Radiohead decided that they were never going to top that performance.