I gave up on the "which bands have you heard live?" meme. Every time I thought I was getting near done on the list, I'd think of someone else. Or go "oh yeah, I heard somebody really well known at Great American Music Hall. Who was it?" I think I've just been to too many live concerts, over the years.
But I CAN tell you I NEVER heard: The Beatles The Rolling Stones or The Grateful Dead live. (I was always meaning to catch the Dead someday, until the name became too literal...)