To be fair to Bono, he did give consideration to breaking down the wall between performer and audience even in the largest venues. For example, he took a gamble in breaking the rules passed down to the artists at Live Aid, and managed to get someone from the audience up on stage to dance with him. When I saw U2 at the Hoosier Dome on All Saints Day during the Joshua Tree tour (following a Circle Jerks club show on Halloween), before the show they were looking for someone who could play G, C and F chords on the guitar, and then had the audience member they found join them onstage to play "People Get Ready." Not sure if U2 kept that up gestures like that once they started all the PopMart multimedia junk though.
But all things considered, I prefer a small venue. Today's dilemma is deciding which Nick Cave show I should beg for as a Christmas or birthday present: Saturday night 300 miles east at Ryman Auditorum, or Sunday night 60 miles south at The Orange Peel. Or both.