A long long time ago, it would have been The Velvets Live 1969 or Lou Reed Rock n Roll Animal, but no more.
I would say now :
The Velvet Underground Live 1966 2CD. Playing the 1st album and 2 long improv pieces.
The Velvet Underground Gymnasium 1967. Playing a scorching Cale-era selection including Booker T, Run Run Run, The Gift and Sister Ray.
Television 1978-07-02 The Earth Tavern, Portland is the best I've heard the early band.
Soft Machine Live Paraiso 1969 Is the one recording that really shows what they were like at that point. Only marred by vocal mic problems.
Egg The Metronomical Society. This CD has four tracks recorded at the Roundhouse which give a hint at how good they must have been live.
The Dream Syndicate Day of Niagara 1965. Aren't all these recordings of the group essentially live? Roaring.
Lost Shadows: In Defence Of The Soul - Yanomami Shamanism, Songs, Ritual, 1978. Recorded by David Toop now expanded on Sub Rosa. Choosing this may be cheating but they are field recordings of live events!
two more:
Ground Zero Last Concert The 15 minute abstract opening track is an amazing sound. The band were fantastic at the LMC Festival in London, playing Consume Red live with the sound of the Korean Hojok piercing the air as this long composition slowly builds into an almost unbearable intensity. A 40 minute version of this is on the CD.
DJ Carhouse and MC Hellshit. Live at the LMC Festival 1996. The first time I 'got' improv was this gig. A kind of cartoon improv. 7" single, but a CD version exists.