I love live albums and own a bunch. I've got Live Rust, Alchemy and Exit Stage Left (as mentioned above). Here are a few others that I think are fantastic and worth checking out:
AC/DC: If You Want Blood You've Got it
Allman Brothers: Live at the Filmore East
Husker Du: The Living End (if you only get one Husker record in your life, get this one..)
Jackson Brown: Running on Empty
Robert Earl Keen: #2 Live Dinner
Jerry Garcia Band: GarciaLive Vols. 1 and 2
Johnny Cash at Folsom Prison Live
Mike Cooley, Patterson Hood & Jason Isbell: Live at the Shoals Theatre
Queen: Queen Rock Montreal
The Replacements: For Sale, Live at Maxwell's 1986 (They were great live, when they actually gave a shit...)
Townes Van Zandt: Rear View Mirror
Widespread Panic: Light Fuse Get Away (Live)
This is a solid list, especially the Husker and Mats live albums. I also like the Drive-By Truckers, with and without Isbell.
Some of my favorite live albums:
Ramones - It’s Alive
The Clash - Live at Bonds
Bob Marley and the Wailers - Live at The Rainbow
Jane’s Addiction - The Head Shop (Milan, Italy)
Johnny Thunders - Too Much Junkie Business
Pink Floyd - Live at Pompeii
Tom Petty and The Heartbreakers - Live at the Fillmore 1997
Bob Dylan - At Budokan
J Mascis - Martin and Me
Iron Maiden - Live After Death
Unwound - Live Leaves
The Pogues - The Pogues in Paris
The Police - Live!
Nirvana - From the Muddy Banks of the Wishkah
The Beach Boys In Concert
Mastodon - Live at Brixton
Guided By Voices - Live from Austin, TX (Bob gets hammered, as is his way, and some of the songs suffer because of it, but it’s a pretty good representation of the band - the setlist is great)
There are many more but my brain is fried.