BTW, this list isn't just for me. I'll use it to hunt down the live DVDs I want, but others might want to use it to find quality live stuff from their favorite band.
That reminds me..
Loudness - Munetaka Higuchi Forever Our Hero
Galneryus - Live For All, Live For One
The Gathering's "A Sound Relief"-DVD is overall softer than "A Noise Severe" which has already been mentioned, but I like even better.
Surprised nobody mentioned Soilwork's live release. That has my vote. Runner up is Paradise Lost - Draconian Times MMXI.