I have four that I toss around in my head (with many many honorable mentions...keep in mind I've only been going to shows since about 2004):
Sonata Arctica - early 2006, Masquerade, ATL: one of the best crowd-involving performances I've ever seen. The crowd was medium-sized, but was very much into it. One of the best performances I've ever seen, and an awesome setlist.
Green Carnation - early 2006, Ground Zero, Spartanburg, SC - hands down, the best set-list I've ever been to (in that it gave me EVERY SONG I wanted to hear from the band)...and that is saying a lot. It was one of the best shows because of the story involved (if you ever want to hear the full saga, talk to me or Mosquito [Justin]), and the fact that they played the first half of their epic one-song album "Light of Day, Day of Darkness". Despite the fact that there were only about 8 people in the crowd readily wanting to see Green Carnation play, the sextet played their asses off and had an incredible set because of it.
Blind Guardian - late 2006 ATL, Charlotte, NC - Two shows in the same week by the same band, and they had completely DIFFERENT setlists. It was amazing, because it was like I got two different shows by the same band. Whereas in one show they played great songs like Welcome to Dying and The Story Ends, at a completely different show they played Majesty and Past and Future Secret. It was amazing, and of course the band is a class act and sounded completely professional the whole time.
Kamelot - a few weeks ago, Jaxx - The best show I've seen this year BY FAR, and a show that I had been pining to see ever since I was told about ProgPower (a year too late to see Kamelot. True that I saw Conception and got to see Khan, but it wasn't Kamelot). They were impeccable. Everything about their live show screamed perfection, and it was great. The crowd was a bit much (sold-out shows are not a mainstay in SC, NC, and Georgia), and it was very hot inside Jaxx, but show-wise Khan hit every not, Thom Youngblood ever solo, and the rest of the band were class as well. They impressed even me, and I'm a fanboy for sure. Loved it.