Another fond memory from college.  I never got into the costumes, but liked going.  If I recall correctly, a proper Rocky Horror Show viewer would be equipped with the following:

lighter
rice
bread
squirt bottle

If you have only seen in on DvD I weep for you.  This means you have only seen a bad musical.  You have to actually go to a true show.  If you want to do so, or have not seen it all yet, this great Rocky Horror fan site has a show locator.  

I could easily link all sorts of video clips, but that would be just wrong.  Rocky Horror is only meant to be seen on a screen with people squirting you with water while super fans act it out scene for scene.  I will link this site that has very exact costume instructions so you can look good when you go.  

One think I love about Rocky Horror was the cameo appearance by Meatloaf as Eddie.  I think he is great, and was a huge fan of his role in Fight Club.  "His name is Robert Paulson".