Slightly jealous of people here listing some serious classics from before I was born . . . But let's see what I can come up with. Chronological order:
Nine Inch Nails, Calamity Janes, Las Vegas, 1989: Super early show, NIN was more or less unknown, but very high energy
Ministry, Hollywood Palladium, Los Angeles, 1990: Tour for "The Mind Is A Terrible Thing To Taste", violent, I definitely suffered some high frequency degradation at this show
Buena Vista Social Club, Chicago Theater, Chicago, 1999 or so: Old building designed for acoustics + old school Cubans with incredible musicianship = really fun evening
Metallica, Rasputin Music, Berkeley, 2016: Not much to say here . . . Fun to see such a legendary act in such a small space