The first concert I ever attended was around Christmas 1995, when my half-brother took me to see one of the very first gigs ever played by Rammstein. It was glorious.
I was only 9 years old back then, but my brother knew the right people, so getting me in and finding a relatively safe (and elevated) spot for me to stand wasn't a problem. He always was a metalhead, and seeing my initial musical interest veering towards the likes of Michael Jackson and Britney Spears compelled him to take action and get me on the right track.
The first concert I actually visited of my own volition was back in 2004, when the Bloodhound Gang played a gig in a small club in Frankfurt... and what fun it was! The supporting band was already hilarious (a punkrock combo from Tokyo, I believe; called themselves "Electric Eel Shock"), and the main act was nothing short of spectacular. I remember during the second song they played, a blonde hottie was crowd-surfing topless; at Jimmy Pop's instigation the crowd carried her to the stage, where she proceeded to give him an improvised lapdance over the course of the next track.
After the gig my two pals and I stuck around until virtually everyone was gone, and just when the club people were about to show us out, Jimmy plopped himself down next to us at the bar, made a sweeping gesture with his hand encompassing the right half of the bar and told the barkeep, "Put that half of your liquor on our tab, will ya?" Then the other guys joined us and the partying began in earnest, and it only got better in the tour bus (with the 8 hot little groupies they'd also invited to stay

).
Sex, schnapps and rock'n'roll - nothing better, I tell you. ^^