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Acts I saw in small venues, was blown away, and now seeing them in a larger venue just can't compare: Radiohead, Interpol, Arcade Fire, Modest Mouse, Postal Service, the Shins.
Acts who rock, no matter what size the venue: David Bowie, Pixies.
Acts who play small-to-medium venues, and who are just amazing live: Agree w/ the posters who listed Les Savy Fav and the Wrens. Also, Iron & Wine, Rosie Thomas, Neko Case.
Acts to skip: Most electronic music, it just doesn't measure up in a live setting. Yeah Yeah Yeahs were unimpressive. Muse = meh.