Captain Beefheart and the Magic Band with It's a Beautiful Day at the Fox West Coast in Long Beach circa 1972. Close second place: Blodwyn Pig at The Splinter Brothers and Sisters Warehouse, Phoenix, same era. Jethro Tull at the Phoenix College Gym (circa 1969) and The Mothers of Invention (Phoenix Star Theater, right after "Freak Out" was released) are reasonable contenders, too.