Live music is great.
Give me a good live album over a studio mix any day. I think it captures the essence of the band more realistically. If it turns out that the band is really horrible live (Our Lady Peace), then so be it, at least you know what they're capable of. The flip side is where I start getting excited, though.
I love Dispatch, but their studio albums lack the passion of their live counterparts. I think All Points Bulletin is one of the best albums I've ever heard. It's a similar story with Counting Crows, although I love them regardless. I just bought the Live At Heineken Music Hall and can't turn it off.
And then there's Buffett, who has more albums than you can shake a stick at, but he really shines as an entertainer at his shows. If you can't get to one of his concerts, at least pick up some live stuff (Live in Anguilla is a good one).