This is Fear from a 1981 performance on Saturday Night Live, a Halloween episode. Apparently, reruns of this episode during that season excised the performance.
I love how the band fucks with the audience, the audience responds nastily to them, and the band fucks with them all the more. "New York's Alright If You Like Saxophones" is an inspired choice for pissing off the venue.
It's all so pretty.