I like Mitchell and Webb, I really do; I even saw this show live, but the DVD wasn't that impressive.
Yes, it is funnier live and I must say, it was much funnier when I saw it in Peterborough than this version on the DVD; for starters, the audience don't seem to be getting into it and secondly, the participation was greater when I saw it; improv. moments when something was dropped, or the Big Talk segment, in which we had a discussion about the greatest kind of chips, which went Daddies Chips > Chip Shop Chips > Regular Chips.
A lot of the sketches in the live version were from the television series, so there's not much to it, some new sketches based on familiar characters but that's about it.
I'd suggest this DVD if you went to the live show or are a fan of Mitchell and Webb, otherwise, I'd suggest sticking to the TV series.