I've been to a few, but my favorite performance I have ever seen was Radiohead at that Auburn Ampitheatre thing, I think supporting the "Hail to the Theif" album. It wasn't the venue that made it, but Thom Yorke was just incredible, from his voice to the weird instruments, to jumping up and down for like 3 minutes spinning his arms like a helicopter.

I never thought that a band could improve over their studio music that much, and the thing was their studio albums were awesome.