The Mars Volta are crazy awesome. And I do mean 'crazy'. They have such an impulsive live sound, and often launch themselves into improvisational jam-outs that blow you away. If you haven't seen it yet, search for their "Abortion, the other white meat" live jam session song. It's fantastic.
Last live band I've seen was Pearl Jam, with My Morning Jacket opening up for them. Both bands impressed me. It was my first Pearl Jam concert, and I will be going back for more.