these aren't really legendary but i saw jhon balance's last performance with coil (or i presume it was) and mary hanson's last show with stereolab.

Not really legendary, but I went to JAMC's first reunion show. They played a new song too. The whole show was great.

http://www.youtube.com/watch?v=zi04AkAWSKw

not my video by the way

The band cut itself from the crowd, building a huge wall of noise for the encore. That was more take it or leave it than a gain of energy.
It was June, 7th.
I was surprised at your comment about the date.

I saw the first ever Grinderman show :D

But also I saw Jens Lekman play in a church in Brighton which was probably not legendary, but I think everyone who was there will remember it well. It was on Valentines day, and it was FREEZING in there, and there was a group of girls who had made cakes and were selling cups of tea. The power got cut out and after the show Jens sat at the back and took everyone's requests. I think there were about 30 people there.