Audacity, To Record Live Shows and Burn CDs
Some of my buddies are in a local punk band, Hero. (I'm the one behind the website). I also sometimes DV Record their shows, as well as grab live audio off of the live mixing sound board. Open-Source application Audacity was suggested to me by a fellow message board user for this task. I'm now a big fan of the application. It's pretty simple to use, yet offers some powerful configuration settings and output formats. If you've got some live events (or other audio editing needs, such as creating a Podcast, read on.)
First, if you're wondering how difficult it is to get live sound from a guy who is operating the sound board - it's not really. If you're doing something similar to me, you'll be recording at some local bar with some guys who offer live sound services on the side. Just ask them, they're usually pretty friendly. If you can offer them word of mouth advertising, or just a drink - they'll be pretty cool. Most of the time, they don't even expect that.
Audacity works with both Windows and Linux, so you have some flexibility there. You may be installing this application on a laptop; if so, make sure your sound card settings in Audacity aren't too high for the laptop. For example, setting Audacity to 24 bit sampling - when your laptop can really only handle 16 bit sampling may produce undesired results. Note that 44100 Hz/16 Bit/2 Channel sampling is used for Audio CDs, so unless you're holding out for new technology - that should be a decent baseline.
When you're first setting up, spend some time getting to know the "Edit -> Preferences" Menu. The "Audio I/O" and "Quality" settings are very important here. This is where you ensure you're getting stereo audio if your sound board guy can give you left and right channels.
Your machine doesn't have to be all that powerful to do this recording, but a few Gigs of free hard drive space is helpful. Also, if you're using a battery - make sure you can hold a charge for the duration of the show. You should blank your screen if you need to.
Here's a basic Audacity recording:

Note the input selection near the upper right corner. I have this screen set to "Microphone" - your settings may vary. Note that levels coming from a sound board will probably be at this level. "Line In" generally requires a "hotter" signal, so audio coming in from a sound board may seem a little week and need lots of amplification. Note that you'll probably need to visit Radio Shack to find a combination of cables that will take two 1/4 Inch mono audio plugs (sound boards generally offer 1/4 Inch plugs for each channel) into a singular 1/8 Stereo Mini plug (in the case of Stereo).
If you're in a live, loud environment - you'll only be able to rely on visual indicators for your levels. Too high, and the audio sounds noisy and distorted. Too low, and you'll have to amplify too much in post editing (causing dull, static-filled sound). Using the Microphone-Icon slider near the top center, I generally set my settings to where I can see full peaks and valleys in my waveform. If the peaks are cut off and running together, you have your levels too high. Adjust downward to just a little before they start to get cut off.
Afterwards, you're able to use Audacity's editor features to do what you like. Generally, you'll just cut some "dead air" or beginning/ending audio. One of my favorite features is Audacity's labels. In a live recording situation, you can just go back and label events. In the case of a live show, you can label the tracks. This works well if the band tends to generally jam/riffs from one track to another:

After you've tracked out all the different songs, you can use the "File -> Export Multiple" option to create CD Burnable tracks (MP3, OGG, but WAV is recommended). When these CDs are burned, listeners will hear uninterrupted and seamless live audio, yet their CD players will let them track through the individual songs as they'd like - as each song is its own track - thanks to your labels.

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If you are planning on using Audacity, I recommend toying around with it first. Obviously, you'll want to get familiar with the application.
Note that you're not limited to recording live shows; as I mentioned before this is a good tool for Podcasts or preparing audio for use in Digital Video editing.