When the reason you're going is to see the support band.
I'd never done this until this year but now I've had 2 bad experiences. First I went to see Reuben support Fightstar, then last night I went to see Jeffrey Lewis support Adam Green. I think the problem is that you never get enough of the support band that you're there to see and then the headliner is just a disappointment.
I think from now on I'll only go to gigs where the headliner is my mine attraction, then if the support is good it's just the icing on the cake.