As I only know the live history of a few bands and the occasional few from others, I can't say that many, but there are some great gigs that have happened at MSG.
The first one that comes to mind, although probably not the best, is Oasis in 2005. Amazing atmosphere, and they even sold it out, proving that they're not as unheard of as people say in America. The band were on fire, unlike most 2005 shows.
From what I've heard of them, Led Zeppelin's MSG shows in 73 and 75 were excellent (bar some bad vocals from Robert Plant...)
And then, of course, there's Get Yer Ya Ya's Out! by The Rolling Stones, an amazing live album recorded almost entirely at MSG. Captures the band at their prime and is really excellent.
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VOTE: The Greatest MSG Shows Of All Time
