Like a couple of the other posters here, I would also like to see a Led Zeppelin show from early in their career.
If I'm choosing an artist I never got to see at all, then the top two are The Beatles and Jimi Hendrix. Even though The Beatles were drowned out by the audience noise, just the experience of seeing them in person would be tremendous. In other words, if the choices were: (1) never got to see The Beatles or (2) saw The Beatles but the sound sucked, I would still go with (2).
With Jimi Hendrix, seeing the original Experience would be my first choice but I would be ecstatic to see him any night with any of his bands.
I've seen a lot of concerts but there are so many more I wish I had seen. If I had a TARDIS that was restricted to transporting me to concerts I would be happy. No paradoxes, no disrupting of the space-time continuum, just seeing lots of concerts.