This really depends on your definition .....

First I went to Chris Tarrant's Capital Request at Wembley Arena in Sept 2002, which was a multi artist bill with Toploader, Appleton, a supergroup with members of Mike & The Mechanics (if I remember rightly), and Bon Jovi at the top of the bill

Then in November 2002 I was at Monsters Of Rock at Brighton Arena, which was again a multi artist bill, where Thunder was the main support act and Alice Cooper headlining (they were the only two I saw)

And then the week after I saw Nickelback (with Default supporting) also at the Brighton Arena

Take your pick of which was my first gig!