Not sure how well known this is but David Gray has a collection of live shows at the Internet Archive recorded by fans and apparently with the blessing of the record company.
There are 110 in all (at time of posting) ranging from 1993 to as recent as this month (some with more than one version of the same show)
Generally the quality is very good.
Available to download in Flac, MP3 and Ogg Vorbis
There are also radio sessions and interviews which are all excellent.
If you already knew all this (David Gray fans probably do) sorry for wasting your time ;)
otherwise hope you find something you like.