I’d take Live After Death instead.
Let me the guy who mentions Rush’s Exit Stage Left.
I’m also partial to Morphine’s Live at the 40 Watt Club which featured some tunes from the final studio release, “The Night.” Mark Sandman was taken from us too soon.
I’m also a fan of big, jam-tastic live versions, so Led Zep’s The Song Remains the Same is a towering classic.
I’m going to have to put in a vote for Absolutely Live by the Doors. One cool thing about it is that over half the album consists of songs that they never released on a studio LP.
I also particularly like 801 Live, featuring Phil Manzanera, Brian Eno, Bill MacCormick, Francis Monkman, and Simon Phillips. It was one of the first live albums to use direct injection (i.e., all tracks except the drum recorded directly off the mixing board signal rather than by using mikes placed in front of the amps).
I see no one has mentioned any jazz records yet… I’ll nominate A Night at Birdland by the Art Blakey Quintet.
Bob Seger Live Bullet
Bob Dylan Albert Hall
**The Band (and many more) ** Last Waltz
Yep. Talking Heads “Stop Making Sense.”
I still occasionally listen to REO’s You Get What You Play For (I love Ridin’ the Storm Out live on that album–got it on cassette in the late 70s), but the Allman’s Fillmore album has to be the best.
After Ted Nugent’s Intensities in 10 Cities of course. (That last was only a joke…) 
Best Live album, Throwing Copper
Best live albums that I’ve owned:
Living in Clip, Ani DiFranco
Babylon By Bus, Bob Marley
34th & 8th, O.A.R.
24 Nights, Eric Clapton
My pick for best albums yet to mentioned:
**Live in Europe **by Otis Redding
**One More from the Road **by Lynyrd Skynyrd
That’s as may be, but they certainly suck, well, live. And I know this from agonizingly boring personal experience.
I love the Heads, but I think “The Name of This Band is Talking Heads” is a better album.
My vote goes for Velvet Underground: Live MCMXCIII
Garth Brooks - Double Live contains some versions of songs that aren’t on any albums.
I’m just disappointed that the Third Rail never put put a live album.
http://en.wikipedia.org/wiki/The_Third_Rail_%28band%29
Actually, there appear to be a number of bands called Third Rail, so maybe one of them has or will.
Why put out an album people will be afraid to buy?
Yessongs, hands down.
Genesis Seconds Out.
And another vote for Little Feat Waiting For Columbus mentioned upthread.
Correction: Mental Jewelry
Most recently:
Pearl Jam MSG 8/21/2010
From my 1980’s past:
Peter Gabriel Plays Live
The Smiths Rank
XTC BBC Radio 1
Agreed, this is a great album.
Also agree about Steve… they always used to do those cover medlies at the end of their shows, i can still hear him singing those couple of lines of that song from CATS… goosebumps just thinking about it.
How could I forget this album!
BTW the lead singer is an MP in our government now, he has had to tone down a bit of his rhetoric though!
MC5 “Kick Out The Jams”
The recently released “Otis Redding Live On Sunset Strip” is worth a listen too.
Live at The Roxy – Bob Marley and the Wailers
Ooh, good one.