Pollstar magazine asks a good question: why aren't more artists recording their live concerts to CD and selling them at shows? I recall that the Pixies recorded most of the shows on their reunion tour in 2004, but I haven't seen many bands do it since.
Pollstar notes that some venues retain the rights to sell anything recorded there, while others charge artists a fee for the privilege of recording their own shows for resale later. (Fair enough--the venue has probably invested heavily in sound gear, or at the very least in acoustics, which may have an effect on the final product.) Copyright issues surrounding co-written songs and label/publisher ownership can also be an issue.
But another reason is technology: rigs that can burn lots of CDs simultaneously cost several thousand dollars, and the artist has to haul this gear as well as blank CDs and jewelcases around. One possible answer is memory sticks. They're more expensive per unit than blank CDs, but they're smaller, file-transfer is faster, and they don't require dedicated equipment--just a computer, which you're probably already using to record the show.
At least one high profile artist is already doing this. Last summer, I spoke to Seattle P-I reporter Todd Bishop (who maintains an excellent blog on Microsoft) right after he got back from seeing Willie Nelson. Willie was selling USB wristbands of the day's concert for $25 a pop at the show--in fact, you can still buy them through his Web site. Trent Reznor also made some very creative use of memory sticks to promote Nine Inch Nails' last record, and given his recent split with his label, I wouldn't be surprised if he starts selling music this way as well.