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.