I've been to 3 of them, I believe... Twice in Vancouver, BC and last year I flew to Chicago for the 25th Anniversary Final Fantasy show in December.
I was lucky enough that Nobou was at 2 of them and I happened to sit right behind the guy at my first show. Obviously, people were giving him standing ovation upon him entering.
The show was everything I expected (I bought the first CD the year before going to the first show so I sort of know what to expected a little) and it felt amazing going to a place where everyone knows what you're listening to. It's hard to explain... I guess I grew up with gamers all my life, but none of them are really into the FF series like I do, so nobody I know will have the same reaction when I hear Battle at the Big Bridge or Zanarkand (though everyone knows the Opera scene in VI... like EVERYBODY!); but going to the concert, I don't feel "alone" anymore because, if anything, I felt like the newbie as I don't know the lyrics of Sephiroth!
The 25th Anniversary show was definitely one that I will never forget. Oh gosh, the merch line was so long that it wrapped around the theatre TWICE! It was on a typical cold day in Chicago. I was with my boyfriend, which he knows nothing about the series, and just seeing the look his face when he saw all the cosplays was priceless (he does improv and a part-time standup comedian, so he got a lot of materials that day!) Then, for the first time I went to the concert, they did the set list in the chronological of the series, a few of my favourites came on and a few surprises. It was one of the best Christmas gift I gave to myself. (FFXIV 1.0 just wrapped up back then and I was so hoping Susan Colloway will show up singing Answer with the closing CG of FFXIV... and guess what? SHE DID and it was AMAZEBALL~~~)
I tip for all of those who goes to the concert (or any gaming or cosplay event as a matter of fact), make sure you have your 3DS and your Theatrythem with you, you get so many Street Passes your 3DS will love you for life!
I know many are not as lucky as I am that I live in a city where the concert comes to almost every year or every second year, the CDs and the Distant Worlds Return Home DVD when the concert played in Japan was very good, I highly recommend. They do change up the CG at the screen every now and then, so some of the CG might not be the most current, but we've all watched them before while playing the games anyway.