there's an awesome dvd called Trilogy from the Cure from Milan just a few years ago where they tear thru Pornography, Disintegration and Bloodflowers in their full glory.
for classic prog-heads, there's a canadian band called The Musical Box, which plays entire gabriel-era genesis albums, replete with the staging, outlandish gabriel costumes, and even some of the original instruments.
roger waters recently toured doing the full Dark Side Of The Moon; he also did his '84 cd (not 'classic' in any sense) in entirety on its debut tour with film, quad sound and clapton on guitar. i believe the Floyd also did Dark Side whole in the '70's, as well as The Wall later or from Rog in Berlin.
in '87 when i saw Lou Reed (for NY) and in '92 Neil Young (harvest moon), i believe they did their entire *new* albums but not in order. and of course, the Who projects from the '90's where they re-approached Tommy and Quadrophenia.
ones i'ld like to hear:
moz-viva hate
stones-exile
pixies-doolittle
swervedriver-mezcal head