There are a few that stand out. In 1991, I saw Nirvana at a small club called "The Bronx" in Edmonton. There were probably 200 or 300 people there. It was a few months before Nevermind came out and I didn't know much about them. I remember Kurt was HAMMERED and at one point, he stopped mid song to say he needed a cigarette. About 15 people threw cigarettes at him and he lit up and continued LOL.
About 20 years ago, I saw Rage Against the Machine and had no idea who they were. Truly one of the best live bands I have ever seen. All through the concert I was asking myself "Who the F... are these guys???" Shortly after the concert, I had all of their music and they became one of my favourite bands of all time. I have never seen them since. Part of me is sad that I haven't been able to see them again live AFTER I have gained this appreciation for them.
I have seen Pink Floyd a couple times, once stoned out of my mind so badly that I don't remember much, and the last time I saw them, I went completely sober so that I could remember it. Maybe my favourite concert of all time. Anybody who has seen them live will understand when I say that HUGE floating inflatable pigs with lasers for eyes while they blare out the base lines of "One of These Days", could be one of my most memorable concerts moments.
Another possibility for my favourite concert of all time was long ago when old school White Zombie opened for Pantera. That was one "angry" concert and there were times in the mosh pit where I literally feared for my life, but for heavy music, you can't get any better than that. It was truly amazing.