Hmmm... my favorite ever would probably have to be day one of the BWBK 6 Pack Weekend last year. It was Grave Digger's first ever show in America and it was nothing short of amazing. The line up I saw that day was Lilitu, Shadowkeep, E-Force, Seven Witches, Doro, and Grave Digger. Katatonia headlined but I didn't stick around for them.
Other shows that come to mind...
Day 2 of BWBK 6 Pack Weekend II - Ion Vein, Brainstorm, Flotsam and Jetsam, Shok Paris, Dismember, Primal Fear, Metal Church (The Odeon in Cleveland, Ohio)
May 2003 Metal Gods Tour - Painmuseum, Carnal Forge, Amon Amarth, Primal Fear, Immortal, Testament, Halford (BB Kings in NYC)
November 2002 - Blind Guardian and Symphony X (The World in NYC)
December 2002 - HammerFall and Dio (Roseland Ballroom in NYC)
Summer of 2003 - Motorhead, Dio, and Iron Maiden (PNC Bank Art Center in Holmdel, NJ and Madison Square Garden in NYC)
October 2003 - Beyond The Embrace, Jag Panzer, and Helloween (BB Kings in NYC)
January 2004 - Arch Enemy and Iron Maiden (Roseland Ballroom in NYC)
April 2004 - Exodus (Cricket Club in Irvington, NJ)
April 2004 - Evergrey, Children of Bodom, Iced Earth (BB Kings in NYC)
July 2004 - Ozzfest - Dimmu Borgir, Slayer, Judas Priest, Black Sabbath (PNC Bank Art Center in Holmdel, NJ)
August 2004 - Nightwish (BB Kings in NYC)
September 2004 - Tad Morose and Edguy (BB Kings in NYC)
November 2004 - Exodus and Megadeth (Roseland Ballroom in NYC)