Here is an excellent vintage bootleg with a great performance by David Bowie. Recommended for fans.

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Name: David Bowie - 2002-07-18 - Auditorium Stravinsky - Montreux - Vaud - Switzerland (Bowie Montreux Video)
Description:
Bowie Says Goodbye To Europe In Montreux
"Mmmm, shall I give 'em 'Low' for the encore, or not?"
A generous David Bowie at the Montreux Jazz Festival.
And the girl next door...
David Bowie ended the European leg of the 'Heathen' tour last night in the Stravinski Hall at the Montreux Jazz Festival, in Montreux, Switzerland. Despite sweltering temperatures, David performed a longer than usual set by rewarding the audience with a similar one to that which he performed in Cologne last week.
He started the show in the very stylish black and white clobber that has become the trademark look of this tour. BowieNet's resident mathematician has predicted that we can expect a similar look for David around the year 2012, if the pattern of 1976, 1990, 2002 is to be continued.
The fans down the front didn't disappoint in terms of launching appropriate items stage-ward at the appropriate lyrical prompts...such as "Just wishing that I had just something you wore", "I'd love to get a letter" and possibly "...your big fat dog" and perhaps even "...the girl next door"!
The first encore saw a return of that lovely little blue jacket that I'll hopefully have some shots of soon, and for the second encore of the entire 'Low' album, (excepting 'Weeping Wall') David wore the long red coat with the black platforms and baggy black trouser affair. He finished the show sans red coat, possibly due to the outrageous temperatures in the hall, but most likely just because he's a sexy sort.
Setlist:
Sunday
Life On Mars?
Ashes To Ashes
Cactus
Slip Away
China Girl
Starman
I Would Be Your Slave
I?ve Been Waiting For You
Stay
Changes
Fashion
Fame
I?m Afraid of Americans
5:15 The Angels Have Gone 
"Heroes"
Heathen (The Rays) 
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Everyone Says Hi
Hallo Spaceboy
Let's Dance
Ziggy Stardust
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Warszawa
Speed Of Life
Breaking Glass
What In The World
Sound And Vision
Art Decade
Always Crashing In The Same Car
Be My Wife
A New Career In A New Town
Subterraneans