I've only been to one, but it was a night to remember. My dad and I saw Dream Theater 7-29-09 when they were in Asheville, NC (like twenty miles from home!) on their Progressive Nation 2009 tour.
Scale the Summit was a discordant mess, Bigelf was unbearable and Zappa Plays Zappa just wasn't my cup of tea. But I was terribly impatient to see DT in all their progressive glory.
The lights were low, thunder played over the speakers, and they blasted onto the stage with A Nightmare to Remember. Constant Motion blew my mind (hearing it live was so much better than the version on Chaos in Motion 2007/2008), The Count of Tuscany was moving and the encore was Metropolis pt. 1: The Miracle and the Sleeper. Simply stunning.
Only quibble was the fact that they only played 2/3 of A Mind Beside Itself; The Silent Man was nowhere to be found. Oh, well. Other than that it was perfect.