Queen
  Live At The Rainbow
  Live Killers
  For Kampuchea
  Queen Rock Montreal
  Queen On Fire
  Live In Japan
  Live In Rio
  Final Live In Japan
  Live At Wembley
  Live In Budapest
  Live Magic
  Rare Live
  Freddie Mercury Tribute
  Return Of The Champions
  Super Live In Japan

Brian May
  Live At Brixton Academy

Roger Taylor
  Cyberbarn

Other
  Singles with live tracks

This is a list of all officially released live recordings (both audio and video). You should notice one important thing: ALL official releases except for (not all) the recent DVD releases (Live At Wembley, Queen On Fire and Super Live In Japan) feature only a part of the concert, the recordings are cut or overdubbed.

If you're a beginner and not sure what to buy, here is my advice: buy Live At Wembley, Queen On Fire, We Will Rock You and Super Live In Japan (all DVD's with DTS sound) and Live At Brixton (preferably laserdisc but VHS will do too).