Depends on the band. The Cure have done a couple of tours to specifically focus on deeper cuts, and for a band that actually does have more to their catalogue than the singles and a sizeable proportion of the fanbase that wants to hear them, that’s fine.
Mountain Goats gigs are full of people trying to out-obscure each other when calling requests.
The trend a few years back for bands to play albums back to front, including the filler nobody ever cared about, was a much worse idea that outstayed its welcome.