Ok so I've been to quite a few musicals/plays... and my favorite is The Phantom of the Opera, which I've seen live twice in London! Absolutely love it! The songs, the story, the costumes, really awesome!!!
I even have the most recent Blu Ray, which starred Gerard Butler as the Phantom and they did an awesome job then too!
Not a play... but I also watched David Copperfield live many years ago! Was pretty incredible!
Other good ones I've attended: Oliver, Les Miserable, Beauty and the Beast, Cirque Du Soleil 'O', Cirque Du Soleil 'La Nouba', Blue Man Group, to name a couple!