In my experiences, and I have been to quite a few metal shows, I usually come away from a live show disappointed. There are many reasons for this. Number one, most clubs that have metal shows, and even the big venues that host the Milwaukee Metalfest and such, don't really understand how to mike up metal bands properly. Especially for fast bands, it always ends up sounding like a wall of noise, and you lose all of the subtle nuances.
Another contributing factor to my all to often disappointment is that a lot of metal bands just aren't that polished. They can pull it off in the studio but live it sounds like ass. One glaring example of this is when I saw Dimmu Borgir. At this time Galder had not replaced the old lead guitarist, who messed up every single solo. He doesn't even solo that much. I wonder why?????
So my rule is this, studio is always much more satisfying. Especially if its the first time hearing a band.
Exceptions to my rule:
In Flames -- Hey they're cheesy, but a lot of fun live
Neurosis -- Holy fucking shit! Amazing live show!
Nile -- As fast as they play on the albums, even faster and just as tight live. Without a doubt the best live show in metal. They bring their own roadies to mike them up and it shows.