Nick Cave and The Bad Seeds played Melbourne Australia last January and the show was broadcast on FM radio. I believe this is just part of the show, as there aren't many new songs in this bunch, but there are some great ones (and great sound). PART 2 of the performance will be available soon!
I've seen them live in Rockwerchter 2008, and it was the best live show on the festival, except maybe for Neil Young.
And I do believe that Into My Arms is perhaps the greatest love song ever written.