I have to agree with the people who said Rammstein, not much connection with the audience, but damn visually it was quite a show. So much fire...
Corey Taylor can get the crowd hanging on his every command, even those who came primarily to see the support bands, so Slipknot are up there.
Skynyrd are the only band I've had the good fortune to see more than once, both times it was quite an experience. The crowd is more subdued given the style of music, not to mention the average age of the crowd were in their 50s (A guy in his late 50s crowd surfing is perhaps one of the funniest things I've ever seen) However, they actually seem like they appreciate their fans, they engage the crowd, everyone knows almost every word to every song, it was just really fun.
I may be biased there though, Skynyrd are my favourite band, of all time.