The Cure: "Trilogy" is amazing. Pornography, Disintegration, & Bloodflowers: three of my favourite albums played live in their entirety! It has some glitches during the performance (the bass sounds out of tune during 'a strange day', and robert starts ****ing up the mic during his wail during 'prayers for rain'.), but overall, definitely my favourite captured live performance. This is a dvd, but I think it counts, since if you want to listen to it without having to watch, you can always record it to minidisc or cd.
Skinny Puppy: "Back and Forth vol. 5: Doomsday" is also a favourite of mine, mainly because I actually got to see this show when it happened! Lots of good memories, and I can trick myself into thinking I can pick my voice out in the crowd of cheers. Fantastic live versions of some of my favourite songs, again.
Gridlock: "live.traces" is sweet and dark and soothing. Their albums are among my favourite in any electronic styling. This live album is better than all of them. Limited edition release, so you'd probably have to download it.