The Doors immediately pops to mind.
I also just bought that "Concert for New York" cd that they played on VH1.
It's got the Who, David Bowie, Mick Jagger & Keith Richards, Paul McCartney, Melissa Ethridge (performing "Born to Run"--WOW), John Mellencamp, and a lot of others (double cd).
It's AWESOME, and I must say that this is a cd you HAVE to buy.
The Who - Live at Leeds kicks butt.
Yessongs.
Rush "Exit Stage Left" - Springsteen's 10-year live anthology.
Kiss- "Alive", one of the finest live albums you'll ever hear.
Second the vote for The Who "Live At Leeds"
Some other notables-
Peter Frampton "Frampton Comes Alive"
The Corrs "Unplugged"
Deep Purple "Made In Japan"- another that deserves a place in EVERY cd collection
Queen "Live Magic"
Eagles, Hell Freezes Over
Rammstein, Live aus Berlin
How about both "Live-The Way We Walk" albums from Genesis?
Oh, and any live Rush album kicks butt too!