The first major live music event I ever attended was the 'Destination Docklands' concert by French composer, performer and producer Jean Michel Jarre. It was sponsored by Swatch Watches and held at the Royal Victoria Docks and I remember the weather being typically 'British' (read: 'crap').
Listening to the event on YouTube now I can remember it very vividly. Thanks to my Mum for taking me! :)