All the Sheffield's are amazing (in fact, all direct-to-disk LP's are!), as are those on Water Lily Records (including A Meeting By The River, one of those meeting being the great Ry Cooder).
Speaking of The Trinity Sessions album (I concur, a good one. I saw The Cowboy Junkies shortly after the album's release, and live they were somewhat lackluster. Cool stage set though, a deco-style living room.), I attended a live show done in a similar style. Steve Earle and The Del McCoury Band appeared at The House Of Blues in Hollywood, and on stage stood around a single large diaphragm condenser mic. They were positioned in a semi-circle around the mic, Steve a little closer to it than the others when he was singing. When an instrument took a little solo, Steve backed off the mic and the musician stepped closer. The best non-purely acoustic live sound I've ever heard!