I think Amy felt most comfortable in small pubs or in front of smaller crowds like Shepherds Bush. And if her family and Blake were there...
Amy once said that in order to sing a song well, she had to go back to the time when it was written and that was often bitter for her.
My absolute favorite performances:
V Festival 2004
North Sea Jazz Festival 2004 (one of my favorites ever)
New Pop Festival 2004
Rotterdam Import 2004
Summer Sunday 2004
T in the Park 2004
Dingle 2006 (I love it)
Joe's Pub 2007 (although the Dapkings were constantly talking, I just find that disrespectful)
Live de la Semaine, I love you more than you’ll ever know is breathtaking
Porchester Hall 2007, although Amy loses the thread at the end (Stronger than me)
Shepherd's Bush Empire 2007
Glastonbury 2004, 2007 and 2008 (even though she had such a bad time in 2008 and many people panned the concert, I thought it was pretty good)
Alcatraz 2007
I'm surprised that many people mention Zenith here, because this concert isn't one of them for me: Amy is very unfocused at the beginning, almost no song comes out of her without interruptions, she's constantly running back and forth, picking up her guitar, putting it down again off, missed her lyrics etc. The only really well sung ones for me are Some unholy war, Cherry and of course We're still friends.
At the end of 2007 it was often the case that she was constantly looking at Blake backstage to make sure he was there. And just 3 years after she appeared so confident, you realize what damage has already been done to her.