I've seen some great shows. Probably The Black Lips though.
In their early days, they were outta control and sooo much fun to see, or The Go-Nuts (a joke group started by Deke Dickerson) they launch food out of cannons and just generally covered the whole venue in a sugary snacks.
The Phantom Surfers are awesome too.
I did see this awful band that was hilarious cause they were soo bad, they sang off key and couldn't hold a beat and were all drunk and their bass player was a drunken midget who kept swearing into the mic in between songs. That was amazing too.