No festivals yet as I'm a kid and I don't travel much. I'll list some bands I've seen live, but you 'tr00' metallers may cringe. I'll list the shows I've been to chronilogically:
-Hellacaust, Iron Fist and a few other Canadian extreme metal bands playing at a CD store... admission was free. That was my first live metal experience. Very cool to see small, new bands in a small place trying to get themselves out there. The production sucked and I couldn't hear much of the vocals, but still a very neat experience. At the end they put out a glass jar for people to fill with change. Everyone came forward and gave 'em a good amount of money; I saw someone give a $20. SUPPORT THE UNDERGROUND.
-Disturbed, All That Remains, Skindred, Art of Dying. I was big on Disturbed before, they used to be my favorite band ever, and I was psyched to see 'em. Great concert, but AOD and ATR were bad. The guitarist of ATR was a great player, though. He autographed my ticket @ the end of ATR's set.
-Slayer, Megadeth, Testament. Thrashtasticness! I went to see Slayer initially (I had almost no experience w/ Megadeth or Testament), but Megadeth and Testament took over the show. After Megadeth (who were fantastic live) left, Slayer felt like an add-on band. Not once did Slayer command the crowd or give them cues or interact with them in any way. They just played their set, said 'G'night!' and left. Didn't even say 'you were great' or 'we love this town' or 'we're coming back soon.'