Some concert venues are choosy about the types of cameras they allow inside. If you can only take a small point-and-shoot with you, set it on sport mode to avoid blur, keep your flash off, and hope for the best.
If you can take a DSLR:
• Shoot at 800 ISO to keep your shutter speed quick while avoiding too much noise.
• Shoot in manual to get the best shots. Remember to re-adjust if the lighting changes drastically.
• The lighting will be changing constantly, so shoot in raw mode. This will allow you to better edit your exposure later.