I haven't been to many live concerts by big name bands, although I've been to countless shows with some bands that have as much or more talent than quite a few big bands. Bible of the Devil always managed to put on a great show with limited space.
Big bands, I think my favorite will stay with the Smashing Pumpkins on their Infinite Sadness tour. It was my first concert, and they were really damn awesome. Tool was great as well, the lighting and visuals were icing on the cake, my only regret is they didn't play Pushit. The first time I saw Modest Mouse was great as well, they were on the ball, played a great set, and I didn't regret driving 500 miles to see it. The second time I saw them Isaac Brock showed up at least 40 minutes late because he was getting wasted and missed the van, mumbled through songs so badly that you couldn't really tell what song it was supposed to be, got pissy and started yelling when someone threw a plastic bottle at him, and started cutting himself on stage.