It was amazing!
There used to be video clips of it on the website (
http://www.lotr.com but they've been taken down
However, some rather naughty person (I LOVE them) filmed a bit of while they were seeing it...
http://www.youtube.com/watch?v=1WBKC5-6wc0
That's Cat and the Moon and it's my favourite part! I love that song
When the four of them are on the bench at the beginning (bear with it, the camera work does get better) the order left to right is Merry, Pippin, Frodo and Sam.
It's much better live (obviously) because then you can see the whole stage and exactly what's going on.
There's quite a lot of videos on youtube but many are actually the Toronto version which isn't as good. Well the Toronto Galadriel is nothing on Laura Michelle Kelly (the one you'll hear singing if you listen to the soundtrack) or Abbie Osmon (Laura's replacement when her contract ended and the one I saw both times.)
The soundtrack songs are from the London production and the Toronto songs are slightly different.
EDIT:
Here's some more I've found.
At the gates of Moria:
http://www.youtube.com/watch?v=U_v2vPECu3o
I've found one of the clips they used to have on the website:
http://www.youtube.com/watch?v=zbF88CUeyYQ That's Legolas at the beginning... (he is amazing!) It's not the full song despite what the person who's posted the video is saying.
Here's the official clip of the Cat and the Moon from the website:
http://www.youtube.com/watch?v=4fCnxyyj4lY