It depends if your a 'looking' person or a 'listening' person. I don't feel disappointed at the lack of a 'show' when I'm listening to music. If a band can produce an interesting set live I don't need them to be leaping about while I'm blinded by lasers, or a polystyrene Stonehenge or dancing dwarves.
On the other hand if I'm in a band that tend to stand there and not do much I feel as if we're short-changing the audience somewhat. But if the guitarist and singer (who are always rampant narcissists, right?) do their jobs, then that's enough. I feel that my role is at the back, wearing a big shirt and playing the right bloody notes...
As Lozz says, little things like eye contact and a confident presence help it all along. I know people who are so anxious on stage that they practically stand with their backs to the audience. Which makes me think, 'you really shouldn't be doing this'...