NPR: Regina Live From Le Poisson Rouge (May 31st, 2012)
Video of Regina performing "Small Town Moon," along with some cute pre-song banter.
I can't embed the audio of the set that was recorded (1 hour's worth!), but you can find it here:
http://www.npr.org/event/music/152902718/regina-spektor-in-concert
There is an accompanying article (click on "Read More"), that gives a little more general detail about the set. I haven't listened to it yet, so I can't give you a set list - I imagine it's mostly stuff from What We Saw From the Cheap Seats.
ETA: You'll have to go to the NPR page to see the video as well, b/c apparently LJ doesn't like NPR's embed code. :-|