First gig ever for me was Mora Träsk at Vågen way back in 1989. I was four years old and it was the best day of my life.
I guess the first rocky shit I ever saw live (not knocking Mora Träsk, my gawd they kick ass) was Sator in like 1994 but that wasn't really my choice and I guess half of Sweden have seen Sator during that period. It's a bit like visiting the Roskilde-festival and seeing D-A-D (yet again, not knocking them - I'm sleeping my day away, tralala). But it doesn't count.
So I guess I'm gonna say what Siren said. Way back in 2002 and that Dark-band.
Stains over Europe the tour was called I believe? Means that Griffin would be the first real metal band I ever saw live. They were, eh, traditional. Then Sinergy, with Alexi Laiho and so on. I remember that he broke two strings on two guitars during the first two songs and he had to play Roope's backup guitar for the rest of the gig. It was a bit like watching someone skate with only one foot on the ice. I still find it very amusing to recall that whenever someone rates him as like, "omg the beehehehest guitarist of his generation totally!!1121".
Dark Tranquillity were great that night. The venue (Musikens Hus) they played at is very limited, in fact it's pretty shitty but in a good, old school way. It's a place with tradition, meaning and crappy lighting. A clear candidate to visit for all you freaky metal tourists out there. It was a very _red_ gig. Stanne's presence on stage was amazing, the intensity was mindblowing and those songs that you knew by heart came to life in front of you. Never did get to know who the fuck that guy in the back screaming "SLAYER!!" all the time was and it's still a mystery how he manages to visit every metal gig in this wide world, cause there's a Slayer-guy at every gig right? I remember that I was totally broke at the time and had to borrow money from a friend (thanks Anders) so I could buy the ticket, so obviously I couldn't buy any merch but on my way home I managed to tear down a tour poster with that night's date on it. It's still up on the wall here as a memory of a very intense experience and left me all bubbly for a couple of days. That gig was followed by a period when I saw pretty much every gig in this town for like 3 years, then going more selective and now pretty much not going to any concerts at all.
The sad thing about when concerts become an everyday thing (well almost anyway) is that you tend to forget how to take it all in. It's hard to take the input and you filter things behind really infantile details that's just a reminder of how narrow minded this scene can be. Sure David Vincent looks like a total fruit in that fucking t-shirt but who cares, he's back you know? And sure it's laughable looking at the kids who wait in line for hours outside a venue that's not sold out anyway only to, once they open the doors, run to the very edge of the stage and stand in the front line through the opening acts and two hours later start the moshing. But it's what it's all about imo, letting the music take you somewhere. Most gigs in this town are such a bore these days since most of the kids grew up and became a part of that misantropic row in the back, standing around with their arms crossed, trying way to hard to look cool.