Great Live Albums:

Rush: Exit, Stage Left
Little Feat: Waitin' for Columbus
Peter Gabriel: Plays Live
DMB: Live at Red Rocks
The Allman Brothers Band: Live at the Fillmore East
The Grateful Dead: Live Dead; Without a Net; too many others to list
U2: Under a Blood Red Sky (& parts of Rattle & Hum)
The Who: Live at Leeds
Widespread Panic: Light Fuse, Get Away

Many, many, MANY others. I prefer a good live recording to the studio versions, for the most part. I do hate homemade Bootlegs that sound like the mic was in somebody's pants.