David Byrne at the Apollo Theater in Harlem. It was Sept 2001, a couple weeks after 9/11, so everything was heightened and emotional. He played "This Must Be the Place" and it hit everyone hard. That was particularly memorable.
The night before 9/11 - literally 9/10 - I saw Michael Jackson reunite with the Jackson 5 and tons of special guests at MSG.
I've also seen a lot of awesome shows:
- Springsteen - always puts his all into every live performance (yes, I'm from Jersey)
- Grateful Dead - went to 60-ish shows between 1988-1995 - never saw any incarnation of the band after Jerry died
- Blues Traveler - used to see them at a club in NYC called The Wetlands. They would play until 4am
- Sharon Jones - tons of energy and fun
- Hole - Roseland Ballroom in the mid-90s - Courtney Love may be crazy, but she gives a good concert
- Joan Osborne - random club in Queens, also in the mid-90s - such an amazing voice in a tiny venue
- Trombone Shorty - Jazzfest 2005
And probably a bunch of others - but that's what I can think of off the top of my head.