I'm co-signing all those who mentioned Madonna's 'Future Lovers/I Feel Love' from 'The Confessions Tour'. I love how the equestiran theme was the first segment and how Like A Virgin even showed the X-Rays from when Madonna fell off her horse, shows she's a fighting spirit.
I'm also so impressed by many of Kylie Minogue's openings but mostly 'Aphrodite' from 'Aphrodite: Les Folies Tour'. Its so 100% on point with the theme set out by the era.