Depends on the band honestly. Most, probably just studio. But when a jazz group or big band come into the picture, live wins every time. Gordon Goodwin's Big Phat Band is one of the few I've had the pleasure of being at live, and while the music is exactly the same (cept for solos), the impact that the band can produce is impossible to reproduce on most sound systems out there.
If the band has a track history of being very completely awesome live, there's usually a reason why.