Several of my favorites have already been mentioned, so I'll do something a little different...
Waiting for Columbus - Little Feat -"technically" a live alum even though they fixed a ton of stuff in the studio, but for me Fat Man in the Bathtub is worth the price of admission alone.
Running On Empty - Jackson Browne- probably pushing the boundries of what a true "live" album is, but it's a masterpiece. The Road and Cocaine are probably my favorite "unknown" songs off this record
World Wide Live -Scorpions- Coast to Coast and Holiday really standout for me.
At Folsum Prison- Johnny Cash- My dad had this album and I listened to it more times than I can remember.
Live Bullet/Nine Tonight-Bob Seger- Received Live as a gift and then proceeded to exchange it for Nine...doh! I soon rectified that mistake, but they both are great records. I saw them on the American Storm tour and was blown away by Bob and the band. Still one of the best shows I've ever seen.
Jimi Plays Monterey-Jimi Hendrix- stole this cassette from my future brother-in-law...totally worth it. This version of Hey Joe just kills.