I love seeing Shakespeare live at the theatre - can't beat it. Being in Bristol I've been very fortunate to see Pete Postlethwaite's version of Macbeth (only five or six actors taking all the roles) and Donald Sinden doing a wonderful Polonius in Hamlet.
I've seen a good mix of the comedies, histories and tragedies and enjoyed them all. I learned early on that you shouldn't try to listen to every word, but let yourself go with the flow of it - understanding comes much easier that way.
If anyone thinks they don't like it, go and see one of his comedies - Taming of the Shrew (with a bloke in Katherine's role) or The Merry Wives of Windsor - great fun