Pet Shop Boys: Concrete: in Concert at the Mermaid Theatre (UK release: Oct 23rd)
 

PSB fans here's another 2006 release, a live album! Haven't heard of a US release but I gather it has yet to be announced:

Pet Shop Boys: Concrete: in Concert at the Mermaid Theatre for Radio 2 With the BBC Concert Orchestra

Disc: 1
1. Left To My Own Devices (Ft Sally Bradshaw)
2. Rent
3. You Only Tell Me You Love Me When You're Drunk
4. The Sodom And Gomorrah Show
5. Casanova In Hell (Ft Rufus Wainright)
6. After All
7. Friendly Fire (Ft Frances Barber)
8. Integral

Disc: 2
1. Numb
2. It's Alright (Ft Sally Bradshaw)
3. Luna Park
4. Nothing Has Been Proved
5. Jealousy (Ft Robbie Williams)
6. Dreaming Of The Queen
7. It's A Sin
8. Indefinite Leave To Remain
9. West End Girls

I'm kind of surprised that the show/disc doesn't end with the quintessential 'Go West'

couldn't that all fit on one disc?

probably not, I would assume the discs would clock in and around 50 minutes, each.