I have few fave:
A Song for XX (from CONCERT TOUR 2000 Vol.1)
And Then (from CONCERT TOUR 2000 Vol.1)
SURREAL (from DOME TOUR 2001 A)
I am... (from ARENA TOUR 2002 A)
WHATEVER (from COUNTDOWN LIVE 2004-2005 A)
Also I like listening her live performances in all because when she's performing ballads it sounds more deep with her vibrato and some fast tracks sounds more powerfull
Also I think tracks like A Song for XX or SURREAL always sounds better in live performance.