I've seen Steamboat Bill Jr. at Film Forum in New York with live piano accompaniment and it was awesome, one of the best movie-going times I've had. That was several years ago, but I remember it vividly.
Film Forum plays a lot of weird movies nobody's ever heard of, but they often have screenings of classics as well. I saw Monty Python and the Holy Grail there a few years ago, as well as On Her Majesty's Secret Service when they were doing a James Bond marathon, and numerous other Buster Keaton films, both shorts and features, when I was young. Good times . . .