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First off, I'll get the issue of Dave Mustaines vocals out of the way. Though I think he's a great studio vocalist, he just does not do live very well. Back in the 80s and early 90s he could kind of pull it off with his helium-type voice, but he definitely can't do it now. The reason I listen to live Megadeth stuff is for the instrumental part.
The previous paragraph also sums up what I think about the vocal performance for this album. Now, on to the big part of what makes a good live album, the setlist. Overall, it's pretty good, the second disc is better than the first, and the first kinda lags toward the end. There's a good selection from TSHF (Their latest at time of the concert) and a good selection of Megadeth classics. I would have liked to see some new things, but oh well. (On another note, there's a rare performance from Risk with I'll Be There)
And the performance itself? Other than the already-mentioned poor vocals, it's fucking solid. Every band member knows his place, and the songs only sound a little different than the studio versions, except with the different live sound.
Overall, this is a solid live album, with a good setlist (Always a must). It's a big improvement over the lackluster Rude Awakening, but I'd only recommend this to the bigger fans of Megadeth, this isn't an essential like Unleashed In The East by Judas Priest.