DVD from the 2005 tour, filmed in Glasgow.
SPOILERS BELOW to explain why this is a great DVD.
Worth it alone for the monologue of SL telling Glaswegians how he thinks he is a "Scotch" man (I had secret cravings for shortbread, offal and heroin), then explaining how William Wallace, Braveheart, your national hero was a paedophile ...... a scottish paedophile (the worst kind of paedophile there is). The audiences faces are almost as good as the comedy.
There is also the Princess Diana and the inflatable ET / ALF sketch.