I would have to say Rammstein. Absolutely insane show with lots of theatrics and crazy pyrotechnic devices. I was finding it funny when people said a Rammstein show is like a religious experience but it kind of really is. It's a one-of-a-kind event, for sure.
Depends entirely on your specific taste in music, but I have had the most fun at blues concerts. Jonny Lang, Susan Tedeschi, John Mayer(seriously, the guy can really play guitar, not a huge fan but happened to see him a few years ago for free and was impressed), Black Eyed Peas/ Fergie were very entertaining, if Evanescence can be located, they rocked, Third Eye Blind, there are so many amazing bands around. I would honestly suggest picking a show of someone you aren't familiar with and take a chance.