I'm sure this has been done before, but I ain't seen it so why not?
For me it's got to be:
1) Bruce Springsteen-Live at the Hammersmith Odeon in 1975
2) Talking Heads-Stop Making Sense
3) Caribou Vibration Ensemble-Some ATP in 2009
All damn good, though shame there isn't any Flaming Lips on there, but I don't know of any specific gigs they've done.
Over to you.