I have seen them live 3 times
1st time was on the first leg of their Black Parade tour in November 2006 (Gerard had the blonde hair going on), they played around 5 small venues in the UK, one of them being in my home town (Nottingham rock city) one of the best nights of my life seeing them so up close!! Then they came back to Nottingham again in March 07 but was the arena this time so was nowhere near as intimate, still awesome though! Then saw them at Download Festival in June 07 when they were headliners, I was right down at the front where the only MCR fans were congregating, from ten rows onwards everyone seemed to be MCR-haters and throwing bottles and stuff =/
I can't wait for their new album to come out, when they come to the UK again it is bound to be in a huge venue, so it makes me sad that I'll never see them again in a more intimate place
I always change my mind on my favourite song, from Bullets it is undoubtedly Our Lady Of Sorrows, from Three Cheers it is The Jetset Life, and The Black Parade I think I would say Mama or House Of Wolves!!