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This is a really hard question, so many gigs to choose from. I'd probably choose a VNV Nation gig I went to in Slimelight, London. They were famous (in the goth scene, at least) at that point but did an intentionally small gig for the old fans.
A close #2 would be The Dead Milkmen at a gig in Marburg back in the 90s. Was the first time I heard the grunge sound, and I thought it was excellent.
So much good music, so little time...
Damn it, I forgot Bauhaus. Is it too late to change my mind?
I don't know Bauhaus well - Bela Lugosi's Dead was on a mixtape I got from someone, and I enjoyed it, so I listen to them a bit. But I imagine they would be awesome live - I'm jealous.
Bela Lugosi is a great tune, but there are plenty of others. Check out the dub inspired She's In Parties, the gloomy Passion of Lovers or the post-punk Dark Entries.