Can't remember the first gig I saw but one that sticks out in the memory was Muse supported by Coldplay around 2000 - two bands on the verge of great things. Coldplay did an entirely acoustic set, had a great rap with the crowd and were very well received - I think they'd just released 'Yellow' as a single - Muse, on the other hand, came out, turned the volume up to eleven and barely said anything between numbers. The contrast in styles, approach and presentation couldn't have been more marked.
Remember finding a beer-soaked fiver on the way out - at least I think it was beer-soaked.