I actually have been to two awesome shows recently.
I went to see Incubus in the middle of August which was a great show since it was more of their hits and not their newest (edit: crap) album.
And then, I saw Depeche Mode. Holy crap you guys. It was amazing. They really know how to perform after so many years of being around. Their stage setup was awesome too. There are a lot of clips on YouTube. Here's one.
My favorite shows though were probably the two Opeth shows I've been to. One at Revolution in Miami (well Ft. Lauderdale which is a little farther north), and the second time at House of Blues in Boston.