I typically shoot concerts hand-held at about 1/15th of a second, 1600 ISO, and no flash of course, relying on stage lighting. I find this gives me the best shots -- sharp enough and with enough light.

Examples:
Skinny Puppy (http://www.flickr.com/photos/marchenland/4083070237/in/set-72157622630618601/) - they use REALLY challenging lighting!
Faith and the Muse (http://www.flickr.com/photos/marchenland/4522898098/in/set-72157623734275067/)
Anguisette (http://www.flickr.com/photos/marchenland/4684236579/in/set-72157624236662208/)

- Madeyn / Slytherin