My first gig would have been at the original Marquee in Wardour Street about 1977 - band called 999 (the only 14 year old in a room full of bouncing punks... scary), but best gig ever...? Either Pink Floyd at Earls Court performing The Wall (it was the first night... 1979/80??) or Roger Waters's own band doing the same at the O2 a couple of years ago - which to be honest, was probably better.
Bubbling under PF for best ever gig is the diminutive wonder that is Prince; seen him many times, but Earls Court in 1992 was a stunner.
Having said that, in equal bubbling status would be the incomparable Frank Zappa - pick a gig, any gig... that man never disappointed (RIP Frank)
Motorhead's been mentioned a few times here & I've lost count of the number of times I've seen them - 1st time was Hammersmith Odeon 1978 supported by a very nervous Saxon (ironically the last time I saw them about 4 years ago was in Cambridge, supported by... Saxon)
Been good looking through this thread - in the 1970s/1980s I virtually lived at either Hammersmith Odeon, St Albans City Hall or The Marquee; halcyon days of heavy metal, progressive rock & cheap tickets...