KMFDM consistently blows the walls off the joint.
As others have said, nine inch nails puts on an incredible show. Saw them on the Fragility tour in 2000, and then twice more in 2006. This was during the resurgence of Angry Trent, and since I was in an ugly place myself, it fit perfectly. Got to see them in my hometown of Richmond, with Saul Williams as the opener. Then I saw them again in Virginia Beach about 3 months later at one of those outdoor amphitheater places. We had pit tickets, and were early enough that my friend, brother, and I were in the second row of people from the stage. The openers were TV on the Radio (more on them in a second) and Bauhaus. The former doesn't carry over into a big venue that well, but Bauhaus rocked out better than I expected. Then nin came on just as the sun was going down, and blew the place away. Less a/v-centric than the previous shows, but definitely more raw, especially since we were so close.
So speaking of surprises, TV on the Radio. Some friends and I were going to see The Faint up in Washington, DC, and this would've been 2005 or so. The opener was some band I'd never heard of, called TV on the Radio. My friend played a song or two for me before the drive, and they seemed interesting. And holy shit, these guys are amazing live. They lose themselves into it like no one other...recordings just don't do 'em justice.
Other surprises: Juno Reactor remains one of if not the single best show I've ever seen. A bunch of South African guys (and IIRC one Australian Aborigine) playing drums live and just going nuts. Again, recordings can't capture it.
They Might be Giants are great live, but consistently have the most obnoxious fans ever. Won't stop yelling requests, talking through the openers, all kinds of stuff. I've seen them live several times, and the crowds have sucked every time.
I saw Smashing Pumkins in like 2009 or '10, and was pretty bored.
My first kiss was after a club show in Columbus, Ohio in 2001 that was System of a Down, with Mindless Self Indulgence as the opener. MSI was surprisingly good, and getting to see System of a Down in such a small venue was incredible.
GWAR, from my hometown, is amazing.
Honorable mentions: Lords of Acid, 16 Volt, Pig, Stromkern.
And I'm really looking forward to Combichrist.