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I don't see too many concerts, but there are a few I've really enjoyed:
Joe Jackson usually is terrific live (although I didn't like his Heaven and Hell concert, probably because I didn't like the music from that album). He's not afraid to play with his hits so they sound completely different from the studio version, yet still sound great.
I finally saw Springsteen in 1999 at the MCI Center here in DC, and boy was it worth it. Picture an encore in which Springsteen and the E Street Band troop out with Bonnie Raitt, Jackson Browne, Bruce Hornsby, Shawn Colvin and a couple others I'm forgetting. No, I'm not sure why they were all at that show at the same time, but they played really well together.
Cowboy Junkies at the 9:30 Club in DC a few years back. Margo Timmins has a terrific voice, but you don't get how truly remarkable it is and how engaging she is until you see her live.
As far as what I didn't like:
I saw Paul Westerberg at the Michigan Theater in Ann Arbor in 1993, and all I remember from that show was him abruptly walking off the stage after an hour, if that, to the confusion of the audience.
Tori Amos a year later in Ann Arbor. She was fine, but there was a guy sitting in front of me who insisted on singing along. Someone else (or maybe that same guy) kept shouting "Take to the sky!" at every opportunity. Truly annoying.
Todd Rundgren a couple of years ago at the Warner Theater in DC -- incidentally, touring with Joe Jackson. Rundgren did give an impassioned performance of a song I didn't know, and he sang a killer version of "While My Guitar Gently Weeps" with Jackson. For the most part, though, his voice was shot, and when he wasn't performing lackluster versions of his best songs, he absolutely mutilated them.