Feels like a three-way tie between catching a then-unknown Florence + the Machine playing to a disinterested SoHo crowd, Lorde's first American show, or Ingrid Michaelson's private Greenwood Cemetery chapel show, which 1989 era Taylor Swift also attended for half a set.
U2 December 2, 1981 at Underwood Auditorium (very small). REM was supposed to open but canceled at the last minute. I did see REM in a bar close to campus that year with less than 100 or so people.
I actually started to think about this and realized for a person who doesn't hit a lot of concerts, the ones I do tend to be pretty fucking cool.