The cult comedy act - John Cleese, Michael Palin, Eric Idle, Terry Gilliam and Terry Jones - performed together for the first time in decades at London's O2 Arena.
The show, which featured an extended cast of dancers, a full orchestra and special effects, ended with a singalong version of Always Look On The Bright Side of Life.
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Among the classic sketches was the Four Yorkshiremen, comparing their tough upbringing, and the Lumberjack Song.
The audience was also treated to clips from old shows including the fish-slapping sketch, and some of the biggest cheers of the night were reserved for archive clips featuring sixth Python Graham Chapman who died in 1989.
The second half of the show kicked off with a spoof ballet - Spam Lake - before a performance of the X-rated Sit On My Face song. Other sketches included Idle and Palin as lingerie-wearing judges and Idle and Jones performing the "nudge, nudge, wink, wink" routine which inspired a song and dance number.
Fans applauded every aspect of the show which included big song and dance routines which allowed time for the numerous costume changes.
Daniel Sanderson, from Hammersmith, said the show had been worth every penny. He said: "They looked like they enjoyed it as well, which was great, so maybe they'll do more shows."
The Pythons, who have been open about the financial reasons for the reunion, even had two giant "merch-o-meters" at the side of the stage measuring sales of T-shirts, posters and other items during the interval.
Sally Baxter, from Swindon, said she was just glad to get the chance to see them live at last.
She said: "I saw them on TV when they started out so this was a little bit of my youth up on stage."
Stephen Fry turned up on stage later in the night during a sketch about a game show host blackmailing misbehaving celebrities, and other famous faces included Professor Brian Cox and Stephen Hawking, who appeared on film after a performance of The Galaxy Song.
Stephen Fry shared his joy on Twitter after his stint on stage.
He wrote: "Oh my days. Just seen @montypython @TheO2 - in fact I made a little surprise appearance. Felt like being on stage with the Beatles *sigh* !"
Monty Python's Flying Circus was made for TV between 1969 and 1974 and generations of fans can recite lines and whole sketches.
Chapman died of cancer aged 48, and nine years later the five remaining members shared a stage at the Aspen Comedy Festival in the US.
The last ever gig - on July 20 - will be broadcast in cinemas around the world.
The professional critics were mixed in their reviews.
The show really is the full Monty, proclaimed the Mirror. "It's not something completely different but that's exactly why fans will love it," said Mark Jeffries, whose only criticism was not seeing enough of the Pythons onstage compared with the dancers.
But it is understandable that they need breaks offstage because they have to "recover from their exertions", said the Express.
"It's a tall order for a bunch of old men and I think we can cut them some slack," writes Neil Norman, who said they have "embedded themselves in the cultural memory".
On a less positive note, the i lamented the lack of new material, calling the show "a lazy production" that relied on television footage and "the whooping adulation of an audience who know all the words".
While admitting that some of the old sketches were "still very funny", reviewer John Walsh said it became a little tiresome.
The Mail said archive clips featuring the late Graham Chapman received some of the biggest cheers of the night.
It is a show for fans, not newbies, according to comedian Russell Kane. Tweeting after the show he wrote: "Witnessed legends in action."
Reviewing the show for the Sun, Kane said it brought him back to his childhood on the sofa beside his father, "laughing my bum off".
The Guardian was less enthusiastic, concluding that the show "isn't bad".
"This live show won't make any converts. But it sends the faithful away happy," said Peter Bradshaw.