Before Rammstein was playing stadiums and having possible one of the most insane stage setups you'll ever see, they were just like every other band out there playing small clubs. Though their stage presence was still pretty theatrical!
Check out Rammstein playing their first-ever-taped concert in Rostock, Germany on August 27, 1994. The show features the following setlist and was a part of the ACHTUNG! WIR KOMMEN. Und Wir Kriegen Euch Alle. documentary from director Carl G. Hardt.
Wollt Ihr Das Bett In Flammen Sehen
Du Riechst So Gut
For those interested, the RammWiki has a pretty extensive page on the documentary.