NIN rocks. Saw them in a club :The Kool Haus in Toronto when "With Teeth" came out. It was fucking awesome! Hundreds instead of thousands of people, with everyone drinking and smoking their brains out - what a party!
One of the best shows I've seen - I'll take a smaller venue over arena rock any day.
BTW, saw them again about a year later in an arena setting and while it was good, it just wasn't the same intensity and "you are there" kinda feeling, plus Trent was about 2 inces tall from my perspective, compared to life-size at the club.