As nobody else apparently remembers any females i'll chime in ;-)

In no particular order:

Sinead O'Connor : She Who Dwells

Marianne Faithfull : Blazing Away

Eva Cassidy : Live at Blues Alley

Tori Amos : To Venus and back

Loreena McKennitt : Live in Paris and Toronto

Sarah McLachlan : Mirrorball

Ani DiFranco : living in A clip

And some males who hasnt been mentioned:

Simon & garfunkel : Live from NYC 1967

Marc Cohn : American Landscape

Bruce Hornsby : Here Come the Noisemakers

Depeche Mode : One night in Paris

Pretty much all of the ones I've mentioned has an excellent sound and/or a unique live performance where the artist really comes across to both the audience and us who listens after the live event.