We've seen BMG at least 6 times, both stationary and travelling shows.
I think I would reccomend the stationary shows (Las Vegas (moved from the Luxor to the Venetian), Boston, NY, Chicago, London, Berlin, Toronto) as a first experiance. They are so fun, with great music and very funny parts.
The travelling show is much closer to a rock concert. There are funny parts, but it's much more about the music and the instruments. We, of course, love this version too, but I think the stationary shows are better and more interesting.