Pleeze… It answer is obvious:
Album
Live at Carnegie Hall from Stevie Ray Vaughan & Double Trouble
And song is Lenny from that album.
Honorable Mention for album must go to Jimmy Buffett’s You Had to Be There. This album captures the spirit of the show like few other Live albums do.
Runner-up song (and no, I’m not joking) is Molly Hatchet’s Flirtin’ With Disaster from 1980’s Jacksonville, Fla. show.
Hate to break it to you, but KISS recently admitted that most of those albums were done in the studio.
My faves;
Stop Making Sense Talking Heads. I prefer the DVD versions to the CD.
New York Rock N’ Soul Review Donald Fagan, Michael McDonald, Charles Brown, et al.
Feeding Frenzy Jimmy Buffett. I can listen to that all day long on my boat.
Todd Rundgren and Utopia - Another Live
I can’t leave out Lee Michaels’s Lee Michaels album. Just Lee on the organ and Bartholomew Smith-Frost on drums. Almost live… a day and all-nighter in the studio (the liner notes called it “As close to live as you’d want to get without being forewarned”).
By the way, I love it when artists play with their lyrics in concert: jimmy buffet, bob dylan (did tangled up in blue as a third person evenmorehaunting ballad)
It’s Too Late To Stop Now by Van Morrison. The version of ‘Cypress Avenue’ is just stunning.
ERRRRRRRRR. Sorry, folks, all wrong, but thanks for playing.
The correct answer is:
James Brown - Live at the Apollo
Johnny, tell them all what our parting gifts are…
From The Within by Dead Can Dance
Humble Pie’s Performance:Rockin’ The Filmore
Sting’s Bring On The Night
Wishbone Ash Live Dates
So many good ones already mentioned…I’ll just add one live song off a otherwise studio album: “The Clap” from The Yes Album.
Band of Gypsies. Although JB Live at the Apollo and pretty much anything anyone here has mentioned at Fillmore deserve honorable mention. And if live in the studio counts, add Bob Marley’s Sausalito '73 “Talkin Blues” to that list.
Wheels of Fire, Disk 2, by Cream, with the immortal Crossroads. Sound better than most studio albums. And yes, I do like 15 minute drum solos. 
(It says Live at the Fillmore, but it was actually recorded elsewhere.)
Favorite live song: “Genius of Love” by the Tom Tom Club, from Stop Making Sense. I hate, I mean hate the studio version of that song, I mean I really hate it, but the version from the movie is pretty cool. And it’s handled well, what with the band “turning back into the Talking Heads” and all.
But the best live album ever recorded is Alison Krauss + Union Station Live, which as already been mentioned but not in bold. I got it just as a “greatest hits” record for the band, because I’d never heard much by them, and wanted an indicator of what to buy next. But the record just blew me away – the songlist is excellent, the band is just on fire, and you hear enough of the crowd to get a sense that they’re into it (and hear some of the repartee between the band and the audience), but once the music starts they fade into the background. I’ve since gone and bought every one of their studio albums I can find, and I think every song from the live album is the better version.
I challenge anyone to listen to Chocataw Hayride, or Baby, Now That I’ve Found You, or Oh Atlanta from that record and not become an instant fan. Even if you don’t think you like country or bluegrass. Plus, of course, there’s a killer version of Man of Constant Sorrow from the O Brother Where Art Thou? soundtrack.
hawthorne mentioned it already but I have to elaborate. Jimi Plays Monterey - Jimi Hendrix at the Monterey Pop Festival, summer of '67. It includes the legendary Wild Thing guitar humping/burning and all. But that version of Killing Floor is the most amazing piece of guitar work I have ever heard! He’s basically playing two seperate rhythm parts at the same time, also throwing in lead fills at every line. And at the same time signing! I once spent several hours trying to play it all (I did a LOT of Jimi studying!!!) I could BARELY play all the notes, with stops and starts, at about 1/8 tempo! I have the video of that concert too. To watch Jimi play it so effortlessly, fingers flying across the frets, never missing a note, while signing and smiling and just messing with the audience, it just boggles my mind. “My fingers will move as you see, but you don’t hear no sounds as you hear…”
Frank Zappa’s You Can’t Do That On Stage Anymore Vol. II: The Helsinki Concert.
Thanks for the second on this. As I said, I was AT the second night of recording. They recorded it over two nights at the Louisville Palace. It was pretty much as you described it, though I haven’t seen the DVD yet. I wonder if I’m in it.
On, and by the way, the picture on the back of the inside jacket was taken the night I saw it. I recognize the clothes.
A friend of mine works for Broadway In Louisville, and her colleagues sometimes pass tickets to events along to her. We saw this for free.