Tom Waits - Glitter & Doom
James McMurtry & the Heartless Bastards - Live in Aught-Three
16 Horsepower - Hoarse
Pain of Salvation - Be (live)
I almost never prefer live albums, but these work for me. Some live albums are "you had to be there" things for me. And even some where I was there (Rush Snakes and Arrows Live), they don't work for me. I can't really articulate why.