I went to a few Riverbend shows with my aunt...I remember Oak Ridge Boys and Brooks & Dunn.
First non festival show was DC Talk and Audio Adrenaline at Memorial Auditorium again with my aunt.
I always thought my first show without parents was Bob Dylan and Kenny Wayne Shepherd at Memorial...we had front row seats and I got to shake Bob's hand...people always said Dylan sucked live in the mid 90s but his show was awesome and I saw an interview where he said his favorite show he had played in years was in Chattanooga.
However, I just googled the show and found the setlist and it was November of 96 so that means Lollapallooza that summer was first...Metallica, Rage, Soundgarden, Ramones, Rancid, Melvins, Screaming Trees, James, a bunch more.