I've been to a few over the years, so tough to limit to just one:
The Tea Party - last month in Montreal
Santana back in the late 70's at the Cape Cod Colesium
Korn last year - hey, it was a great concert
Black Sabbath (Dio was the lead singer)/Blue Oyster Cult at a race track in NY (Glens Falls) back in the late 70's
Emerson, Lake & Palmer
Dimmu Borgir a few months back
The above were all concerts, not festivals where a bunch of bands play for less time. Of all the festival bands I've seen, I'd say my favorites were:
Sevendust
Static-X
Tonight, after I see Hypocrisy/Soilwork, we'll see where that rates.
And, the best concert I never saw (but had tickets to) : Opeth/Nevermore last May in Worcester, MA. What an awesome concert that wasn't.