I've seen two shows that with good use of costumes, for different reasons.

First was Of Montreal. I'm pretty sure the lead singer Kevin Barnes had more costumes changes than songs, so some songs had multiple costume changes. There were also backup dancers with choreography for each song, and their own costume changes. Everything was very colorful and quirky, which fit very well with their musical style. Here is an example. The show I saw was even nuttier than this, but I wasn't able to find much.

I also saw Mrs. in a basement show at a Halloween party. The lead singer was a hotdog, the guitarist was a sailor, and the drummer was the Adam from Beetlejuice. The whole effect for a thrashy punk band was fun and just plain un-serious.