If you're unfamiliar with the concept of a live album, it's when a band does a concert, records it, and sells it as an album. They usually try to keep things fuck-up-free, and they'll do some things they wouldn't normally do in concert. It's also usually a longer concert than normal where they do a pretty good chunk of their catalog, provided it's not something as massive as the Beatles'.
My favourite would be "Our Live Album is Better Than Your Live Album" by Reel Big Fish. It's just awesome and it's hilarious. A couple of the songs on it are ones that I prefer to the original album versions, too. Wish I'd been there for it.
The other I could choose would be Metallica's "S&M". It's awesome. That said, it's something that they could never do again because it just wouldn't be the same. Not only that, but the conductor of the San Francisco Symphony died, so... there's that.
P.s. Yeah, I checked for other versions of this... the last was in February of 2010 and there's a rule against digging up old threads, yes?