I tend to see smaller bands in small venues and in those cases I think it is more dependent on the venue since they are the ones providing the sound system and the person running the soundboard... I've seen bands that sounded great at one venue and terrible at another. Jazz and classical venues tend to be light years ahead of comparable rock venues, so all of my best shows, sonically speaking, are at jazz- and classical-oriented venues:
Marc Ribot and Marco Capelli each playing solo acoustic guitar, amplified, at the Stone (NYC) - #1 favorite show sound-wise, it was simply perfect. Only time I've been at a concert thinking "WOW" about the sound quality during the show. Inexpensive sound system in a little room with folding chairs, I have no idea how they pulled off that SQ.
Erik Friedlander playing solo unamplified cello at Lilypad (Cambridge, MA) - hard to beat sitting in front of the cellist and listening unimpeded by technology!
Boston Symphony Orchestra at Symphony Hall (Boston) - as long as you have a halfway decent seat, you can't lose sound-wise at the BSO.
Total Masada at Auditorium di Roma - Sala Sinopoli Hall (Rome) - 3 night festival of everything from chamber music to rock, all on one stage and it all sounded great.
Essential Cinema & The Dreamers at St. Ann's Warehouse (Brooklyn) - the SQ was good, but the main thing I remember about the sound was that during the first set, either the soundstage/imaging was ridiculous or else they managed to induce mild auditory hallucinations (which I am not ruling out - you had to be there...). Either way, an achievement.