First concert was a Styx concert - I forget the year but it was when they were at their peak, so probably mid-late 70s. I had gotten hooked on their music because my high school girlfriend liked it and a couple of songs like 'Sweet Madame Blue' were long enough to allow for serious progress with her in a dark corner.
However, the concert was so bad and the band looked so gay that I went home and trashed the records.
Next concert was Yes 'In the Round'. Awesome show. Funny thing is, I made my friend drive home because I'd been drinking... never mind that he'd been indulging in forbidden topics that were appropriate for a Yes concert. I still remember him turning to me as we were driving home along the freeway and saying, with a straight look on his face, "You realize that I've never piloted an automobile through a worm hole before."
Best concert ever was Iggy Pop in a converted theater in Detroit around 1979. He was just beginning to claw his way out of hell and the energy and violence in the place was unbelievable.
Musically, U2 (Dallas) and Elton John (Atlanta) have been the best experiences.