I'll only buy compilations if I feel there are enough songs that I don't already have to make it worthwhile. That'll generally happen if I'm still missing a large portion of their discography or the compilation has a lot of stuff not available on their studio albums.
I don't bother with live albums, although I do pick up live DVDs from time to time. The chances of me seeing most of the bands I like like are almost zero, so while DVDs aren't nearly the same thing, they make up for that a little.