I have a few nominees, in chronological order:
Dave Matthews Band 5/26/99 @ Giants Stadium, NJ. - my first Dave show, first time I took my first girlfriend to something really fun and cool, and overall just a wonderful night!
Phish 12/31/02 @ Madison Square Garden, NY - my first Phish show, after waiting for a long time to see them, and words cannot describe how great that music was!!
Phish 12/1/03 @ Albany, NY - 20th anniversary tour, awesome show, heard all those songs I'd been dying to hear live (Stash, YEM, 2001, Antelope....and a nice cover of Good Times Bad Times

).
Dave Matthews Band 7/21/04 @ Camden, NJ - perfect night for a show, phenomenal music, one of those nights where you are totally in the music and you don't even notice the people around you.