There's a fine line between "favourite" and "best" since it's easy to blur the two together. I have a lot to choose from (as we all do). Here goes.... and sorry for the expansion of the topic, but I've got nothing to do at work today:
Best = Pete Townshend @ Massey Hall - July 10, 1993. Even though Pete was supporting his pompous failure concept album Psychoderelict, this 3 hour show was magical. Simon Phillips tore his kit apart.
Close second = Television @ The Phoenix Concert Hall - June 9, 2006 (guitarist Richard Lloyd has since left the band, so this is one of the last times the intact band played together). Nothing tops hearing "Marquee Moon" in concert, but their re-worked jammy "1800 or So" came very, very close.
Favourite = The Soundtrack of Our Lives @ The Opera House - March 28, 2003 (Fuck you that think all Toronto crowds suck):
Craziest = DKT/MC5 (reformed MC5) with that imploding lunatic Evan "Lemonheads" Dando on lead vocals @ The Phoenix for NXNE - June 9, 2004. Dando stalked around stage looking like a possessed scarecrow, distracting the band repeatedly, challenging the audience repeatedly, and then sat behind the drum-kit repeatedly. Good thing Mudhoney's Mark Arm was also recruited as their a co-lead vocalist.
Still Shocked I Was There = Wilco @ HMV in-store concert in 1996 with around 20 people in attendance, but most were just browsing - I remember standing next to Jay Bennett and thinking that these country-rockers may make it big.