Sleater-Kinney at First Avenue (ticket stub)
Setlist courtesy growboredbigscott62
First Avenue, Minneapolis (10/15/1998)
Sleater-Kinney was listed to appear on March 28, 1999, but according to legal documents, they canceled that show.
That leaves May 9, 2000, which MTV.com said that Sleater-Kinney was booked at First Avenue. I believe this was the show with the Gossip was the opener.
First Avenue, Minneapolis (06/15/2005)
Oddly enough, there is a DVD entitled Burn To Shine: Portland, OR. 06.15.05, which is said to have recorded Sleater-Kinney in Portland on June 15th, but that does not make any sense since the band was in Minneapolis on that date, touring in support of their final album The Woods. Perhaps the DVD was filmed in 2006 or at a different month? I suspect they filmed it June 1st or June 2nd, as both those dates, SK was at their hometown (Portland) at McMenamin's Crystal Ballroom and Crystal Ballroom, respectively.
I do have trouble remembering the differences between the two shows, but what I can tell you is that their last appearance was sold out. It must have been over sold, because there was hardly a spot to stand and possibly one of the worst time I've ever spent at a show. Their 2002 show was similar, I'm not sure if that sold out as well, but I was stuck in the middle of a moshy/slam-dancing army of women. It was hot and smelly and also not a good time for me.
Still, despite my complaints, I do love showing my support for the band, and was sadden that they split up in 2006. However, last year (November 23rd, 2013), the trio appeared with Pearl Jam and Scott McCaughey and Peter Buck for a cover of Neil Young's "Rocking in the Free World" in Portland... so there are rumors going around that the band may come back this year.
It should be interesting to see if SK will reform, although everyone is busy with their own side projects, Corin Tucker with the Corin Tucker Band, Carrie Brownstein with the Portlandia television show, Janet Weis with Quasi and Wild Flag.