There are tons of live recordings/videos of Coil which have surfaced on youtube, the best of which in my opinion is the Dublin- October 2004 show, John Balance's last performance only couple of weeks before he died. It is the most terrifying raw live performance of any artist i have ever seen. ..its fucking brutal, like he knows he is about to fall big time, and this is some sort of speech at his pre-funeral gathering. The word intense does not do it justice!! Its not a easy experience to watch that Dublin gig. Unhappy Rabbits has to be the most disturbing song i have ever ever heard. The audience looks traumatized.
Saw them a few months previously in Summer of 2004 in London, similar set.
The bootlegs on youtube for some odd reason do not do justice to how fucking loud it was. Intimidatingly loud. the later sets were much more conventionally 'song' structured which is what i like about these final gigs too.
But after seeing that Dublin show it will be hard for you to find music as intense as that gig for a long time.