Four that come up on my own playlist I enjoy a lot -
"Pictures at an Exhibition" - Emerson, Lake & Palmer.
"In Concert (The Doors album)" - really a double album compilation of live Door's performances.
"801 Live" - Phil Manzanera, Brian Eno, et. al
http://www.youtube.com/watch?v=kFkQ-d0OeEg
"Stop Making Sense" - Talking Heads.
From that album and movie ...
Psycho Killer -
http://www.youtube.com/watch?v=pA1oFSMwRDU
Taking Heads - Girlfriend is Better
http://www.youtube.com/watch?v=9r7X3f2gFz4