The time I saw the Misfits at Fitzgerald's in Houston. We showed up about 5 hours early and were able to just walk right in and watch them rehearsing, we got a couple of photos. Then we just hung out with some guys from another band called Flatus, they played a bad ass cover of Toto's Africa. During the actual Misfits performance, people were stage diving off the balconies, and they played an amazing cover of Led Zepplin's Immigrant song.
Other notable concerts have been Radiohead on their OK Computer tour, Tool on their Ænima tour, and Iron Maiden.
Then again, the smaller club type shows are always a rockin' time.