Not an easy question. Been to an endless list of shows over the years, and it seems like every one was "the best one I've ever seen". I like live music no matter what it is.
Some stick out in my mind though, and all of them are small venue type shows.
Mr. Big - Penny Arcade in Rochester sometime in the 80's Stage lights were so low Billy's neck on his bass was hitting them once and a while
Savatage - Backstreets in Rochester late 80's Backstreets is HUUUUUUUUGE! lol
Gov't Mule - Town Ballroom in Buffalo 6 or 8 years ago First time at the Town Ballroom. Awesome place for a show
Les Claypool - Town Ballroom 4 or 5 years ago Les is just awesome
Dream Theater - Town Ballroom a couple years ago There was not a doubt in my mind I was going to see a band of this caliber in a venue this small. It was also a month or two before Portnoy left the band.
Bryan Adams - Auditorium Theater in Rochester 10 years ago Wife called me and said she could have a couple free tickets. I didn't want to go, not a Bryan Adams fan nor pretend to be. Went anyway (I like live music, remember) Ended up being front row seats in the middle. They friggin' rocked, it was a really good show.