Most arena shows suck IMO. By the time a band is big enough for an arena they made their name years ago in smaller venues and it's too late to see them.
Some of my favorite shows that come to mind:
-Hank 3 - El Corazon, Seattle, I forget when... 2006 or something
-Legendary Shack Shakers, Muddy Roots, Tennesse 2012
-Joe Buck Yourself, Muddy Roots 2013
-Fu Manchu, El Corazon, 2014
-Nashville Pussy, El Corazon, 2007 or something
-Danko Jones, opening for Turbonegro at the Showbox Seattle 2006 - didn't quite blow them off the stage but came in with 2 strikes against him and hit a homerun in my book
-saw the Bad Plus (jazz band) many times but once in particular here in Quebec city they were part of some jazz festival and some crappy artsy fartsy obnoxious boring guitar dude who scats the notes he's playing all the time was opening and most people were pretending they liked it because they felt they had to, and then the Bad Plus hit the stage and jaws were genuinely dropped.
I'm sure I'm forgetting some great ones but that's what comes to mind.