I have seen far too many shows to pick just one, but I'll list my Top 5 that I remember enjoying the most.
These are not in order, but simply listed.
1. Metallica w/ Queensryche (And Justice For All Tour)
2. Rush w/ Primus, Bonham (Roll the Bones Tour)
3. Slayer w/ Fear Factory, Kilgore (Diabolus in Musica Tour)
4. Suicidal Tendencies w/ Toxic Popsicles (Lights... Camera... Revolution! Tour)
5. Ozzy Osbourne w/ Type-O-Negative, Sepultura (No More Tears Tour)

For sheer production.
Queensryche - Operation: Livecrime