I saw the Alkaline Trio perform Goddamnit from top to bottom. Years later they played a series of shows at the same venue, performing two albums in their entirety each night.

On a similar note, watching a film with the soundtrack performed live is awesome. Got to see Amadeus and 2001: a Space Odyssey with symphony orchestras (2001 was especially awesome). I also got to see Goblin perform to Suspiria, which was badass, but the follow-up set they played was even better.