My first concert was a free one with the Black Eyed Peas when I was 15. Right in front of the stage, too. Music was pretty crap, but the effects were nice, and I was with my robotics team so it was a tonna fun. Can't believe I almost didn't go!
Aside from that, I've never been to a concert. They're expensive and far away, and the ones nearby always get held at night in some decaying hellhole of a city.