I have always enjoyed concerts as well. My favorite so far was seeing Steve Vai at a little theater in Albuquerque, NM and standing about 10 feet from him for the concert. I was a closet smoker then and snuck out twice for a smoke during and came back to the same spot after. There were maybe 150 or 200 people there.
The second favorite was seeing Yes and Dream Theater in Albuquerque as well. It was a very fun concert and I almost crushed the guitarist walking in a crowd (I am quite big, he was small) on accident. I had a drink with him after at the bar, he bought me a martini and was very nice.