The set focused on their latest album called "Deadache" (8songs). "The Monster Show" isn't a regular album, it's somewhat a "best of" of the first two records "Get Heavy" and "The Monsterican Dream" which weren't yet released in some countries at the time when "The Monster Show" came out.
What I like about Lordi's show are the horror-elements. I'm a huge fan of horror- and splatter-movies. The stage design resembled a mad scientist's laboratory with pieces of meat hanging at the side and an operational table where Mr. Lordi performed an autopsy on a not quite dead zombie during "Dr. Sin Is In". Besides, during the interludes the musicians killed some zombies. For instance, Kita beheaded one with his samurai-sword whereas Awa impaled two dancing zombies.
You've got to like this stuff in order to find it entertaining. At least I do and I prefer Lordi over Kiss any time. Personally, I'm not a big fan of their music and besides, there's just nothing which justifies ticket prices of 100€ (!!!) or more. That's just insane. I'll rather stick to the slightly smaller groups ;-)