The Paradiso Club in Amsterdam was one of the first to record and broadcast its live gigs over the internet. The site http://www.fabchannel.com/ is one of the best for reviewing live performances. A must for anyone wanting to check out a new band before digging into the cash...
As a taster, here's a recent concert by Calexico
http://www.fabchannel.com/calexico_concert/2008-10-15. Be warned though, you may need a really fast internet connection. The quality is great but that's only good enough if you have the hardware.
If you're more than a little but interested in Calexico, you can download huge amounts of live here:
http://www.archive.org/details/calexico2006-12-02..flac16