My first one was Van Halen, which is also my all-time favorite band. The whole night was awesome but I kept waiting for Jump and they never played it. They went off stage and I was kinda disappointed but then they came back out (I was young and it was my first show - I knew nothing of an encore) and absolutely killed it with that song.
Best night ever!
I've been to somewhere around 120 concerts at this point and I still remember how awesome that moment was when I thought they were some and then hears that opening keyboard.