A rather general question, the OP. I can answer it at three levels:

I don't dig live albums per se. Sorry, but very few bands - metal or not - have the imagination to produce extremely interesting variations on their original songs, because otherwise I might as well listen to the studio versions, which are generally better recorded and better performed, though there are, obviously, exceptions.

I dig DVDs or videos depending on the band, but most of the great metal bands definitely put up a good live set, so it is worthwhile. But again, I wouldn't prefer it over the studio version unless the live set was truly unique both in terms of performance and all the frills that come as part of the stage setup.

Being there for a live concert is always an amazing experience, unless the band seriously messes it up. No sound system can capture the might of metal in the flesh and blood at close quarters. However, I would find it hard to compare the live experience with the studio experience, because a concert is for me to have the time of my life and be entertained to the hilt, while the studio versions are for repeated listening, dissection, introspection, so on and so forth.

ive actually never been to a live show but i would probably say studio due to the fact that when your listening live im sure people will be all yelling
but live would be pretty good