First stadium show for me was REM/Radiohead at the Woodlands Arena. Really great show - turned me into a Radiohead fan forever (and REM wasn't too shabby, either).
Since moving to Austin, I have seen too many great shows to count. A few standouts include Gillian Welch, Medeski, Martin & Wood, Galactic, The Roots, Stereolab, Ben Harper, etc., etc...