nothing is a better compliment than a room full of people dancing when you are playing.
with that said, three more direct compliments stand out.
i have had more than one fellow bass player inform me that in their opinion i am "better" than claypool. while i do not agree with that (as i was not singing or playing a 6 string fretless), getting that feedback from fellow bassists meant a lot to me.
interestingly enough, the same night i heard that the first time a woman came up to me after a set and told me to my face that after watching me play she wanted to go hump my bass. i responded by saying it's over there in the corner, just wipe it off when you are done with it.
the third one that stands out is a bit more involved. the last show that my former band played a friend of mine was cruising around the audience when we were playing. since most of the folks there were there to see other bands, it was a lot folks first (and now last) time seeing us. my friend starting talking to someone during our set and asked this guy what he thought of us, here is the following discussion:
Random Guy: "i don't know what to think of these guys."
Friend: "what do you mean?"
RG: "well, say most bands you see are geo metros, then these guys are a mcclaren F1."
F: "well that's good, right?"
RG: "well, i guess, unless you are really used to metros."
F: "you sure about that?"
RG: "well it's like this, it's like the music that these guys are playing is the language of God, but i don't quite remember how to speak it myself so it's hard to understand what's going on up there (on stage)."
while not exactly a direct compliment, this has been by far my favorite performance feedback ever, except maybe for the time someone told me that that band sounded like a cross between sublime, phish and sepultura (fyi: i wrote about half of the music for that band). that band never made any money, but that comment alone is priceless.