I've been going to concerts since the early 70s so have seen many, many great shows over the years.
Hard to pick just one, but seeing as that was the question I would have to say the first time I saw Stevie Ray Vaughan really stands out as a show I will never forget.
He was just starting to get some recognition after playing on David Bowie's "Let's Dance" album, but was still playing the smaller venues in support of his first solo album, "Texas Flood".
We saw him in a small club in Toronto, we were probably six feet from the stage, and he absolutely tore the roof off the place, just amazing guitar playing from start to finish. This would have been in the 80's sometime, don't remember the exact year.