A few come to mind:
1) In mid-1996 David Bowie had started recording sessions in NYC for the album that would become Earthling. He was so excited by the material being recorded that he decided to road test some of the new songs and quickly announced four intimate club shows in NYC, DC, Philly and Boston. Somehow I was lucky enough to score tickets for the Boston show. It was at the tiny Avalon club on Lansdowne Street. The previous summer I had seen him at Great Woods (on a co-headliner with Nine Inch Nails) playing to 15,000 people, so this small club was quite a change in atmosphere. Bowie was clearly having a great time and loved playing to an intimate crowd. The band (Reeves Gabrels, Gail-Ann Dorsey, Mike Garson and Zak Alford) were on fire. I know fans of The Spiders will give me hell for this, but this was my all-time favorite Bowie band. He previewed a few songs from Earthling that sounded amazing. He mixed in classics ("Heroes", "All the Young Dudes") deep cuts ("Look Back in Anger", "Breaking Glass") and a few of my favorites from his previous CD ("Outside", "Strangers When We Meet".)
2) In late 2009, one of my student workers who was hip to lots of new music told me to check out a band that was apparently making waves in England, Mumford & Sons. I found the video of "Little Lion Man" on YouTube and loved it. They didn't even have any material released in the U.S. yet. Shortly after they announced a U.S. tour. The tour was all small venues because the album hadn't been getting any attention at the time that tickets went on sale. I got tickets to see the them at The Middle East club in Cambridge, MA, in their smaller lower level room. By the time the show came around, the album was starting to get attention and the show had sold out. There were tons of people on the sidewalk begging for tickets. Inside, the tiny room was packed and the energy was high. Within a year the album would be double platinum.
3) In 1983 I was lucky enough to see U2 before they started to play the big places. A local college in Hartford managed to get them for their Spring Fling festivities. (This was a month before the famous Red Rocks gig.) The band played outside in the school's quad. Only about 500 people showed up. War had only been released just two months before so they still weren't all over the radio yet. They were young and had something to prove. (Bono complained that American music critics had been referring to them as a British New Wave band.) Their energy was off the charts. I saw them on many subsequent tours, but unfortunately as their fame grew, their passion diminished. But this performance was absolutely amazing. They were playing their hearts out.