Their live shows
I've never been to one. It's the sad result of being on the wrong continental landmass and being absolutely broke. [cough buy my books cough cough]
And when they share the stage with other Steampunk greats like Professor Elemental... stuff like this happens[warning - low quality audience video]:
Please note that Rabbit has a flame-thrower as part of her robotic accessories.
Along side the audience participation [many of whom are better than word-perfect on the lyrics already] there's also an enhanced suspension of disbelief. SPG has repeated games of "Make The Audience Believe X".
Like: "make the audience believe the robots are staring at the sunset"... this one is "make the audience believe Rabbit is fighting off an invisible sky shark".
And they are very good at it.