Huey Lewis and the News, during their Sports tour, at the Jones Beach Ampitheater on Long Island. I was 9 years old. If there was an opening band, I missed it, as all I remember was some guy cracking jokes onstage. Either the News had a crappy stand-up comedian as an opening act, or this sucker was trying to warm up the crowd or something. It could have been worse: my parents used to listen to the Oak Ridge Boys 
The first concert that I actually wanted to attend was the 1989 “Monsters of Alternative Rock” tour featuring New Order, Public Image Limited and the Sugarcubes. It too was at the Jones Beach Ampitheater. We were dropped off two miles away from the Ampitheater, and had to walk the rest of the way, cutting across the Fire Island dunes. The Sugarcubes were horrible, PIL was great (but then, I was a big PIL fan, and they were the main reason why I went to the show), and New Order was so-so (I enjoyed their albums, but they didn’t work as a live band IMO). Not having a ride home, a friend somehow convinced two girls to take us home in their limo 
My first concert in a club (where I have seen almost every concert I have attended, hence making this an appropriate inclusion) was Dysfunctional Idiots, Mucky Pup, Biohazard, and the Bad Brains side project H.R. (named after Bad Brains’ singer H.R., of course) at Sundance in good old downtown Bay Shore, also in 1989. The place was conveniently located only a few hundred feet from the local hospital, as the pit was not only pretty violent but also had several load bearing columns painted black, making them hard to see in the smokey atmosphere. The minimum age to enter was 18, but despite my age of 15 I managed to get in without having to show ID. I met the leader of the notorious local suburban gang called SOB (Strong Island Boys… out of curiosity I did a google search on SOB and found that they made a movie about them!), who would shortly thereafter appear on the front cover of Newsday, and for some reason he was convinced that I was on acid. Biohazard, just starting out at the time, was pretty good even then, but the payoff was H.R. H.R. was on yet another break from his band Bad Brains (although, as always, his brother Earl was there on drums), and despite having released a lot of solo songs featuring a Bad Brains-esque hardcore/punk/metal sound, he decided to do a completely reggae set… for 3 hours. He stood there on stage, smoking several joints throughout the set, as he sang reggae song after reggae song. As the crowd dwindled, I was right up in front of the stage, most likely getting a second hand high from the cloud surrounding H.R. We ended up walking out of the place at about 4am. While Huey Lewis and the News and the Monsters of Alternative Rock were my first two concerts, that show at Sundance came to be my definitive concert experience, as for years afterwards, I would find myself in yet another dingy club hearing yet another band play on a way too small stage in front of an energetic crowd, and I would think about that show at Sundance in '89.