If a band plays live, only live shows can perfectly tell you about it's atmosphere. If you can't see the live show - buy a live album. The best ones are always bootlegs, especially very lo-fi ones. 'Jesus loves the sisters' is the best example of that. It's the best release by this famous goth rock band - just because it was some small show in some German town recorded by some fan. Nothing can tell you better about Sisters of mercy.