Start Big and End Big
For ideas on how to put on a great show, learn from Hollywood. Take any successful action film. They often start with a literal bang, an explosion of some sort, or a major gunfight or car chase. No matter what happens in the middle, it always ends with what they call "The ticking clock," including a chase scene and heart-pounding stunts and sequences before the guy gets the girl in the end. The saying they keep in mind as they write this stuff is "Start big, and end big!"
We can tell you that this formula works and you should use it when you play music. We always start with a rocking song--usually one that uses all of the horn section. And we always end with a very up-tempo number that gets the crowd jumping up and down and yelling. Even if you want to start subtle, always, but always, end with a powerful song.
Think of a fireworks display. The ending is always a big finale that fills the sky with lights and explosions. Make your show the same way. People by nature remember the last thing that they heard or saw. You can make them forgive a lot of "sins" in the middle of the set if your last song is a strong one. Our goal is to have the crowd more red-faced and excited than we are when we finish. We usually succeed, because one of our biggest closers is a wild, rocking song that has a chorus that gets people jumping up and down as they sing it with us. The reactions we get back from the audience afterwards are the reason we keep playing all of these years. That's when you hear fans say "You guys were AWESOME" and know that they really mean it.
We don't know why other bands fail to do this, because it's a well-known axiom, and it just works. Almost every Broadway production, movie, and most pro bands understand this fact of show business. Remember it when you plan your set! "Start big and end big." What goes in the middle is just the creamy filling. You can do what you want in there as long as you follow this rule.