I saw the question and I clicked on it to write The Who - Live at Leeds, but you already mentioned that.

On that album, My Generation is by far one of the best live medleys ever performed!

(and Magic Bus is also pretty wicked)

The Eagles - Hell Freezes Over
Johnny Cash - At Folsom Prison
Nirvana - Unplugged
Harry Chapin - Greatest Stories Live
Grateful Dead (anything)

Fleetwood Mac - The Dance
Korn - Live & Rare
Depeche Mode - Tour of the Universe
Ben Folds Five - Sessions at West 54th
Zep - The Song Remains the Same
Floyd - Ummagumma & Delicate Sound of Thunder

I could keep going... I love live and covers and live covers are the absolute best.

I also cliked on the question to post The Who "Live at Leeds" and did not expect to alreadt see it in the original post. Great stuff.

I will add,

Humble Pie "Rockin the Fillmore"
Doors "Weird Scenes Inside the Goldmine"
Frank Zappa "The Best Band You Never Heard In Your Life"
Allman Brothers "Live at Fillmore East"
Roger Waters "In the Flesh"
Crosby Stills Nash & Young " Four Way Street"

of course Woodstock 

and one that most if not all would have never heard of. A tribute album featuring many of Australia's greatest musos playing the songs of one of our best song writers. "The Andrew Durant Memorial Concert"