I'll qualify my comments and say for me it's a case of overall "show" vs. musical performance vs. entertainment. U2 wins hands down in the overall show category, and is certainly in the top 3 in the other two groups. I caught Stevie Ray Vaughan here in Austin in 1989 and that - by far - is the best individual performance I've ever experienced. I'd also put Lyle Lovett, Billy Joel, and a couple others up there.
Overall though, I have to say U2 has been the best package, so to speak.