Some of my favorites:
Led Zeppelin - Celebration Day
Legends - Live at Montreux 1997 (Eric Clapton, Steve Gadd, Marcus Miller, Joe Sample & David Sanborn)
Peter Gabriel - Secret World Live
Talking Heads - Stop Making Sense
Los Lobos - Kiko Live
Miles Davis with Quincy Jones & The Gil Evans Orchestra - Live at Montreux 1991
Santana Greatest Hits - Live at Montreux 2011
Jeff Beck - Live at Ronnie Scott's
Pretty much anything from Steven Wilson or Porcupine Tree, too.