I've seen too many good concerts to say that one is the best, so here are my favorites:
Tom Waits (yowza!)
Overkill (about a dozen times)
Motorhead
Clutch
Poe (at a Borders store, karaoke-style- one of the best "concerts" I've ever seen)
St. Louis Symphony Orchestra- Beethoven's Symphony No. 9
The Trip Daddys (St. Louis-area psychobilly band)