First concert Prince Purple Rain tour
Second concert U2 Unforgettable Fire tour
Neither one embarassing at all. The U2 show blew me away and taught me the power of rock. I can honestly say I can't really think of any I've been to that I'd be too embarassed about. Well, I'm slightly embarassed about seeing Billy Idol at the Pat Center in '86 or '87 so. I felt pretty lame.
*edit*
I just dug up the set list for this show...pretty cool. It was in April 1985:
11 O'clock Tick Tock, I Will Follow, Seconds, MLK, The Unforgettable Fire, Wire, Sunday Bloody Sunday, The Cry-> The Electric Co., A Sort Of Homecoming, Bad, October, New Year's Day, Pride (In The Name Of Love)
encores: Knocking On Heaven's Door, Gloria, 40