I saw him play a fairly small venue in 94 or 95 and then saw him at two giant outdoor festivals - I think Lollapalooza and the Tibetan Freedom concert - a few years later. I'm totally in love with him so of course I thought he was fabulous. I remember the crowd at the small venue was giving him a really really hard time. It was right after "Loser" and people kept yelling at him to play that and didn't seem into any of the other songs. Even though he seemed sort of shaken he still put on a good show and obviously that situation wouldn't happen these days.
I tend to not like big venues so I've been less inclined to see him in recent years but I think you should go - I'm sure it will be lots of fun.
I've seen him at least 10 times in the past 11 years. I love him so much and I've been following him since I was about 14. I've seen him at every type of venue - from big outdoor fests like Lollapoolza, to tiny small clubs in Chicago to shows at college campuses. He's playing next month in Chicago again at a small venue here and I want to go see him but he's already sold out. If you like him and have never seen him - definitely go. He's so great live and worth every penny!