A tough question, but this is what I came up with. Songs which I think are either as good as, or surpass, the studio version… and there are currently youtube videos for all. Enjoy.
1. Ode to My Family, by the Cranberries. Munich, 1995.
2. Par Avion, by Mike and the Mechanics. Dusseldorf, 1989.
3. Skeletons, by the Yeah Yeah Yeahs. Stockholm, 2009.
4. Where the Streets Have No Name, by U2. Slane Castle, 2001.
5. San Jacinto, by Peter Gabriel. Modena, 1994.