I tend to like the studio versions better, except on the last two albums. ATYCLB and HTDAAB are so slick and digital and over-polished that the energy is taken out of them. Seeing the Vertigo Tour turned me around on some songs from the last two albums.
I think the reason I prefer album tracks to live (for the most part) is that the live versions must often remove a lot of the little details that make me love certain songs in the first place. Whether it's an irregular or unusual backing vocal, or the simple "blip blip" of a keyboard in the right channel, all those little details add up.
The production is an element that makes a big difference with U2, as well. "Surrender" is a great live song, but it possesses little of the epic richness of the album version. The same goes for everything off The Unforgettable Fire. You just can't recreate the atmosphere of that album live. And, I think that's a good thing. It gives the album a sense of place and magic. It is its own kingdom.
A huge example is "A Sort of Homecoming". You just can't take the album version and play it live. The treatment that Eno and Lanois created for Edge's guitars are studio-only. If you tried to play it that way live, it would be a mess. Some people say that that's what it sounds like on the album, but I think it creates one of the most beautiful and engaging soundscapes that anyone has ever put on record.
Another example from that album: "Pride". The live version is great if you're at the show and singing along, but the album version floors it. Edge's guitar hits make up the true rhythm of the entire song, using a fat, heavy delay sound that is completely different from the thin, nebulous sound he uses live. The change in tone costs the song quite a bit, in my opinion.
And, "Bad", which has become a live monster, was absolutely brilliant on the album. It's the perfect example of Eno's approach to music - the idea of layering as many sounds as you can think of, and then stripping them away here and there to create different landscapes. I always go nuts when they play it live, but here's an example of what I miss from the album: the distorted power chords that erupt in the last chorus. It's a master stroke that you don't hear in the arena.
A (somewhat) more recent example is "The Fly". This song is fantastic live, but part of what made the album version so brilliant was the phasing effect obtained by placing two mixes of the song side-by-side and playing them at the same time. The effect adds so much to the song, yet you can never hear that live.
But, some songs can become better. As someone mentioned, "Mofo" really came to life on the POPmart Tour, I think largely because of Adam's bassline. That single addition took it someplace else entirely. And, I say that as a huge proponent of the production on the POP album, which I personally find otherwise perfect (not a popular opinion).
So, when it came to the Vertigo Tour, I was pleased to find out that I actually really DO like "Vertigo" and "All Because Of You", both of which disappointed me on the album. They were very antiseptic there. But, at MSG, they exploded onstage. I found myself looking forward to those two songs more than any of the other new ones. I was stunned.