Before you go buying some more esoteric stuff, I'd get DSOTM, WYWH and Animals (My personal favourite-at the moment, at least). You can't really call yourself a Floydophile if you don't own those.

For live Floyd, I myself have ripped the soundtrack of the Pompeii DVD to Ogg, and put it on my Portable Media Player. A lot of the bootlegs are very good, but it can be tricky tracking some of them down.