Nothing can beat a live concert. Even the greatest album cannot compare to the most normal show you could ever imagine. It is not that the music is of better quality, but you can share it with like-minded people. There is no point in being self-conscious when you attend a concert. No one is going to judge you if you are a bad dancer or if dogs bark when you sing because every single person in the room with you is in the same state of mind.
There is few if not any experience that is closer to real untainted happiness than going to a concert, so what are you waiting for?