I just saw them on Saturday in Oklahoma City with Torche and Circa Survive opening for them. Personally, I didn't care for the opening acts, but Coheed was AMAZING. I think they're in my top 3 favorite bands now.
During the show they played 3 from YotBR, No World and Welcome Home, then the rest were from their older CDs.
In Keeping Secrets of Silent Earth: 3 was abolutely the best song I've heard live. I can't express how awesome it was, not to mention that I was less than 20 feet away from the stage (which is the closest I've been ever.)
All in all, Coheed and Cambria is amazing.