I don't have one coolest thing.
Every concert I've ever been to. Lady Gaga's The Monster Ball was my very first concert and there was so much theatrics it was pretty cool. I've seen Lady Gaga live a lot and she always puts on a great show. Seeing KISS live with my dad was also awesome for all the pyro. Seeing NSP live was cool because I had VIP and they answered one of my questions during the preshow experience. Plus I had great seats and talked to some cool people. It was a small concert but it's the first one I been too where it felt like I was with a small community interacting with everyone vs seeing a big show with a bunch of strangers. That's a rare experience esp in Philly. They've built a cool fandom for themselves. I've never been to a show where I've had so many people make random convos with me. Plus I think the dude running the merch booth was hitting on me lol. Ghost and Amon Amarth were awesome because I had the meet and greet with Amon Amarth and great seats. Nothing beats a cool metal show. Madonna was a blast. Saw Katy Perry back during her teenage dream area that was fun. Selena Gomez was a fun show. Saw her during the Stars Dance tour. I know I'm forgetting some artists.
I'm more interested in seeing smaller acts in smaller venues these days like what NSP was/is but still. I've seen a lot a cool shows over the years.
The wrestling events I've been to have also been very awesome.