12/31/02 Madison Square Garden, New York, NY
Set I: Piper, Guyute, NICU, Horn, Wilson¹, Mound, The Squirming Coil> David Bowie
Set II: Waves²> The Divided Sky, Lawn Boy, Carini, Rift, Harry Hood, Character Zero
Set III: Sample in a Jar, Seven Below^{2 3}, Auld Lang Syne> Runaway Jim> Time Loves a Hero, Taste, Strange Design, Walls of the Cave²
Encore: Wading in the Velvet Sea

¹ w/Castaway on jumbotron, and "Tom Hanks" (Steve McConnell) on vocals
² First time played
³ w/snowfall inside MSG, dancing snow angels, fireworks, pyrotechnics, white balloon drop, people on stilts and flashlights.

Setlist Source: TeamUSA
(Thanks to raindog and David_Ongiman)