Sorry to make everyone feel old... (but I was born a couple of generations too late and am extremely jealous of all of your first concerts):
BB King, 80th Birthday Tour, April 5, 2005, John Labatt Centre, London, Ontario, Canada. I was 17 years old and my Dad took me as a birthday present. It was a really small intimate venue and a pretty damn good first concert for a millennial... lol
Nothing wrong with that -- I saw him around that time as well at an outdoor concert in Northern California with Etta James and the great Al Green as opening acts. King was definitely slowing down, but I'm really happy to say I got to see him in concert before he dropped. I only wish I had seen him in his prime.