There are a few I can recall, which all have relevance in my musical upbringing to some extent or another:
Mystery Jets - Zoo Time, Barfly in January '06. Being crushing against the front as the crowd oscillated with all the music washing over me was special.
The Hives - Main Offender, Hammersmith Apollo '05. First ever gig, this was just revelatory.
The Futureheads - He Knows, Reading '06. Sandwiched between Hounds Of Love and Carnival Kids and it still managed to come out on top.
Royksopp - Remind Me, Glastonbury '03. I took my Dad to see them (I was only 11 at the time) and was on his shoulders for it.
Test Icicles - Catch It!, Astoria in April '06. Last ever show, this was just insane.
Muse - Knights of Cydonia, Reading '06 / Stockholm Syndrome, Wembley '07. I think I actually shit myself a little when this came on, on both occasions.
Metronomy - You Could Easily Have Me, Scala in April '07. That riff. Jeez.
Daft Punk - Da Funk/Daftendirekt OR Aerodynamic/One More Time, 02 Wireless '07. No explaination needed, surely?
Paul McCartney - All My Loving, Glastonbury '04. Yes.
Maximo Park - Apply Some Pressure, NME Riot Tour '05. My favourite song of all time, at the time.