Did live show, The Far Side, last of all (4)
I believe the answer is:
were
'did live' is the definition.
('they were' means 'they lived')
'show the far side last of all' is the wordplay.
'the far side' suggests the final letters (I've seen 'far side of' mean this).
'last of all' becomes 'ere' (I am not sure about this - if you are sure you should give a lot more credence to this answer).
The last letter of 'show' is 'w'.
'w'+'ere'='WERE'
(Other definitions for were that I've seen before include "(We/you) existed" , "SECOND PART OF 14" , "Used to be" , "Existed in the past" , "'Are, in the past (4)'" .)