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Some shows I've seen lately:
Girlyman - Always a good time. They do smaller venues, have *great* rapport with the crowd, and do fascinatingly interesting encores (they also have a version of Hey Rose that melds Genie in a Bottle to bizarre and wonderful effect). They'll take a request or two every show, and they make up charming little songs onstage while tuning, hee. Highly recommend; I've seen them 7 or 8 times, and they never disappoint.
World/Inferno Friendship Society - It helps to know the venue. I've seen them twice now; the first time they absolutely blew me away with their frenetic cabaret punk. The second, the show was in the basement of a church, and you really couldn't hear the excellent musicianship for the crap acoustics.
Dar Williams - What a sweetheart. She will try to make the crowd dance, which is difficult to her particular brand of folk music, but she has great rapport with the audience, loves what she does, and sounds wonderful on stage. A good time.
New Model Army - I love this band, and they mix up their playlists between tours (and even a little between shows); they're not a slave to their hits, and they have some really interesting songs, and the playing is excellent. They don't interact with the crowd much, though, and don't even think about trying to request a song; they won't listen (particularly if it's "Justin! Justin! Play 125, Justin!").
VNV Nation - Go expecting to dance. A great time, the one time I saw them, and the singer was (unintentionally) incredibly entertaining in his continual injunctions to the crowd full of goth/industrial types to "feel the moment! Be a *part* of this!"
Dan Bern - Oh, what to say. He's fascinating, but do not go if you do not want to see a Dan Bern Show that may or may not involve music. I've heard that he tours with a band now, and they've hauled him in a little? But my sister once went to a show that was entirely him watching the baseball game at the bar, and rushing through a song every commercial break. Also, if people try to request the best-known songs (or sing along), he'll make them sing, or stop playing, or make up a song about idiot audience members. Funny, but could be frustrating.
Depeche Mode - The last time I went to a big stadium show. Meh.