my favourite live "album" is actually a bootleg of Guns'N'Roses at Hammersmith Odeon in either 1987 or '88. obviously sound quality isn't fantastic, but the performance is! there was also a show from the use your illusion tour from Paris broadcast on MTV. i saw it on video at the time, and recently have seen bits and pieces of it online. those two shows were brilliant, and so much better than the live stuff they actually released. in comparison, the live illusion videos and the live era album are just dreary cr@p! i definitely prefer to see/hear a show warts and all.
similarly, i much prefer Aerosmith's live bootleg album to the more recent little south of sanity one. actually, their Classics: Live! album is very good too