First concert I ever went to was the Fragility v2.0 2000 tour by Nine Inch Nails here in Montréal. That was a really, really great show (except for the opening band, Perfect Circle, which sucks ass very nicely). Second and last concert I ever went to was The Who Encore Series 2002 last July, in Mansfield, MA. Now that was really fucking great as well. The opening performer was Robert Plant with his band doing some songs from his new album Dreamland (which I should buy someday) and some old songs from Led Zeppelin. This was surprisingly good, or rather, excellent !
From the two I'd say that I enjoyed Nine Inch Nails a lot more because I knew the songs. For The Who I did not know most of the songs since I mostly listen to their live albums, which are what The Who should all be about anyway
I should really try to go to more concerts, but good artists that interest me are not heard of very often...