Pros: Concerts are a great idea for first dates because of what it involves.  It's pretty much just an hour or more of pure adrenaline.  Why is it good though?  Guys NEVER take girls to concerts for first dates.  It's a great place to "break the routine".  It's also good because of the psychological affects it has on women.  If you take a woman to a (kick ass) concert, she will always and forever remember it.  So, from then on, everytime she thinks of you, she will be reminded of all the good, fun, and exciting feelings she felt when she was with you at that concert.

Cons: It can be loud, and crowded.  This could cut down on conversation between the two of you.

 Notes:  Try to pick a band/artist/genre you both like.