A nomination for Okonokos by the band My Morning Jacket (released on October 31, 2006). They and Erykah Badu don’t perform “Tyrone” on that tour, but it’s still a keeper.
With my favorite cut, “The Night They Drove the Interest Rate Down”
Just joshing you. “The Last Waltz” is my number one, followed by Talking Heads’ “Stop Making Sense” and Neil Young’s “Live Rust”.
mmm
I almost included that in my top five.
My wife and teen son visited Atlanta earlier this year, and I suggested they take the tour of the Fox Theater, which they did (and they enjoyed it). I wonder how often the tour guide is asked “What song is it you wanna hear?” 
How about Judas Priest Unleashed in the East? It took a bunch of songs that, on the studio albums, I found as exiting as funeral dirges, and made into great rocking songs.
Though I suppose band purists will think they ruined the songs. In general, I hate live performances that go too far from the original material. Like Zep’s Whole Lotta Love on TSRTS. It goes off on some ten minute epic journey before coming home to finsh the song.
A couple of my favorites that I haven’t seen mentioned yet:
Little Feat - Waiting for Columbus
Genesis - Seconds Out
Live At Carnegie Hall - The Dave Brubeck Quartet (1963)
They hit a groove right from the start and the concert produced a double album. Joe Morello did a drum solo on Castilian Drums that lasted some 10 minutes (starts around 3:00) or more and that was a master class in jazz drumming.
If you’re a Jeff Beck fan, it’s hard to pick a favorite between Live In Tokyo 1999 and Performing This Week: Live at Ronnie Scott’s.
Live Alive - Stevie Ray Vaughan, captures a concert vibe that I wish I could have seen in real life.
More votes for Stop Making Sense, Concert from Central Park and Waiting for Columbus. The rest of my top ten would probably be various Grateful Dead albums, including Live/Dead, Europe 72, Dick’s Picks #4 (Fillmore East), Dick’s Pick #8 (Harpur College), the Veneta concert, The Closing of Winterland…
Just an incidental side note. In that video I posted, there’s a brief moment when one of the accompanying vocalists turns to look admiringly at Cohen as he performs. Someone in some forum somewhere said it was Katy Perry. It didn’t look like her so I didn’t believe it and did some research on who the three of them were.
The Black woman is Sharon Robinson, a talented singer, keyboardist, and songwriter in her own right who did a lot of collaborative work with Cohen. The other two are sisters, Charley and Hattie Webb, who accompanied Cohen throughout that tour. None of them are Katy Perry, who likely knew Cohen well but never performed with him in concert.
There’s really not a greatest, just different shades of great. My three are:
Live in Amsterdam - Joe Bonamassa with Beth Hart
Live Wire/Blues Power - Albert King
At Fillmore East - The Allman Brothers
I played “Romeo and Juliet” from Alchemy for 1of my fabulous females, sorta sang along to it while looking into her eyes & it helped us fall in love. It’s THAT damn romantic!
Regardless, my top 3Live albums:
The Song Remains The Same - Led Zeppelin
Exit…Stage Left - Rush
Bursting Out - Jethro Tull
Honorable Mentions -
Stop Making Sense- Talking Head (+Adrian Belew!)
Unleashed In The East - Judas Priest
I may be picking a nit here, but I would submit that Waiting for Columbus and Europe 72 aren’t true ‘live’ albums. The former featured performances from 7 different concerts and the latter from 9. They were all live songs, but the albums weren’t from one concert.
Primus “Suck on This” is probably the live album I’ve listened to more than any other. All of the instruments and vocal are very well balanced, it has great energy and a tight performance with almost no slop or performance lapses. In contrast, I find Led Z “Song Remains the Same” unlistenably sloppy. 10/10 for Suck on This from both performance and technical categories.
By that metric most of the albums listed would be disqualified, since they use tracks from different venues/nights.
Right. Even the Stones’ …Ya-Yas… has a track recorded in Baltimore, even though the original liner notes just mention Madison Square Garden.
I’ll give it a listen now, as I water the garden.
Another good one, I love Nick Cave.
No Adrian Belew on that one, the second guitarist (well third if you count Harrison) was Alex Weir from the great funk band The Brother Johnson.
For Adrian Belew you want another another great Talking Heads live album - the second disc of The Name of the Bands Is Talking Heads. Stop Making Sense is the more coherent and tight performance overall, but there is definitely something to be said about the power of the Belew touring band.
The audio was never released separately to my knowledge, but the concert film Live In Rome is another great document of that era.
In chronological order:
Get Your Ya-Yas Out (1970) – Rolling Stones
Live Cream, Vol. 2 (1972) – Cream
Between Nothingness and Eternity (1973) – Mahavishnu Orchestra
I would be hard-pressed to name a better live album than this one.
Livestock (1975) – Roy Buchanan
Probably the live album I have listened to the most.
Too many candidates for #5, so I will leave it at that.
Loving it - thanks. The drummer (Tim Alexander) has a sound and style that reminds of of Stewart Copeland’s (or late-80s Chad Smith). But that’s “just a matter of opinion.” 
I concur with The Last Waltz and Live Bullet. If you can, get the Last Waltz CD version that has a few more cuts on it. And if ever there was a DVD worth buying, this it. Just watching a stoned Neil Young belt out Caravan is worth the price.
I also nominate Bob Dylan at Royal Albert Hall 1966. At one point you can hear someone in the crowd yell “Judas!” (for going to electric guitar). His live version of Visions of Johanna is better than the Blonde on Blonde version.