"Fear of the Dark" the first time I saw Maiden is still one of my favourite moments from any concert, I wasn't expecting them to play it, and when the first note was played, damn did the crowd love it.
Dave Grohl playing "Everlong" solo when the Foo Fighters headlined Leeds in 05, the chills I got were there the entire song, it was just so hauntingly beautiful.
Dream Theater playing "Under a Glass Moon" was just the crowning glory of seeing them on their first night in London on the 20th Anniversary Tour. I knew I was seeing something amazing when at the interval between their two acts, a guy at the bar wearing a t-shirt from their 1993 World Tour said to me "Jesus, that was something special."
"The Ballad of Dwight Fry" last time I saw Alice Cooper was the best one I can really remember, it was haunting, rocking and action-packed as you watched what was going on onstage... it was really just, wow.
The last one I can actually think of was when Whitesnake played "Is This Love" at Wacken last year, being about 5 rows from the front and a day of drinking really helped, but the atmosphere was just so great that it really did it for me.
If I make it back to Wacken this year, I'm sure Iced Earth's entire set will give me a great chill.