First metal concert: some local bands, around September 2001. Jester's Tear (or something like that...more Gothic anyway) and Circle of Grief and another metal band.
First "real" metal concert: Iced Earth, 2002.
Still one of the most remarkable ones I've ever been to.
Oh and at that very Iced Earth concert I would have died if I had not had those earplugs with me. Whatever you regard as really "loud" is harming your ears. As soon as it really hurts, you know that you have exceeded the point to put in earplugs BY FAR. Do use earplugs, try different sorts of them and find out which ones are OK for you. It's sad that normal earplugs also tend to cut off the noise of the audience, but...well...there are also some special sorts of earplugs that reduce the noise level a bit less; I've never tried those, perhaps that's the solution.