I'm not typically a fan of live albums but here are some good ones:
Pretty much everything by Zappa, esp. Roxy & Elsewhere, In New York, Shut Up 'n' Play Yer Guitar, Make a Jazz Noise Here, etc.
Just great, amazing stuff.
Japan - Oil on Canvas. Mick Karn's Wal sound so awesome and punchy throughout
Jansen/Barbieri/Karn - Playing in a Room with People
Genesis - Three Sides Live
Genesis - Seconds Out
Bowie - Stage
The Cure - Concert
Bauhaus - Press the Eject and Give Me the Tape
Peter Gabriel - Plays Live
And just to be a contrarian:
King Crimson - Thrakattack
though only in small doses; I can't listen through that entire thing in one sitting.