Live albums are never an essential listen for me. If it's somebody I really like, then I'll buy them, but 99% of the time I prefer the studio versions of the songs. That said, here are some of my favourite live albums;
The Who - Live At Leeds
MC5 - Back In The USA
James Brow - Live At the Apollo, 1962
Sam Cooke - Live At the Harlem Square Club
Bob Dylan - I like a lot of the many Bootleg Series that he's put out, I'll go for number 4 as my favourite overall
Bruce Springsteen - Live 1975 - 85
And more recent ones:
Green Day - Bullet In A Bible
Thrice - Live At The House Of Blues
Tegan and Sara - Get Along
NOFX - I Heard They Suck Live / They've Gotten Even Worse Live!
Bad Religion - 30 Years Live
The Bob Dylan bootlegs could be ranked completely separately. Heh.
You know, I don't think I ever heard that Green Day one. Weird. I remember it coming out - and I just ignored it I guess.