Very tough question. I can't say I have one absolute favourite, but I can name a few that stand out of the rest:
Live in Long Island I and II
Music in Progress 93 (Osaka 28.08.93)
Stained Glass (22.06.22 rotterdam)
Last Stop: Penn Station (NYC, 03.04.2004)
Stg. Portnoy Progressive Hard Rock Band (Madison, 05.09.2004)
If I had to select one of them I'd probably go with "Penn"...