I suppose by my experience you mean I have to have seen it. That's a bit difficult, because I haven't seen anything that has been described as legendary by anyone but myself, but looking at the other answers, it seems to be shows I have seen. Um, okay...so what has been legendary to me...(All dates are guesses unless I know them for sure,and this is in order.)
Rufus Wainwright - Live at Radio City Music Hall, New York, NY, February 14th, 2008. This has been my first and only musical concert event at Radio City, which was plenty reason enough to make this show legendary. A gorgeous venue paired with a gorgeous concert. Rufus performed flawlessly through his entire latest album, 2007's Release the Stars, old songs of his catalogue, old classics and covers. The show was probably three hours and Rufus had a lot of steam. Overall it was the most sophisticated concert I have ever been to. Jeans and a t-shirt simply wouldn't cut it for this one.
Velvet Revolver - Live at the Sovereign Bank Arena, Trenton, NJ, December 30th, 2007. Though this isn't a show I particularly enjoyed to its utter limits, it is legendary for two reasons. The first being that it was the quickest concert I ever decided to attend. I either decided to go the day of or the day before, though I think it was the day of, got tickets and attended. The second reason is that it was one of Velvet Revolver's last shows with Scott Weiland as their singer. For those two reasons alone, and seeing rock icons like Weiland and Slash, this show is under the legendary category for me.
Audioslave - Live at the Electric Factory, Philadelphia, PA, April 22nd, 2005. This show was legendary to me because it stood as my first concert experience, which is an irreplacable and definitive memory. Not only that, but it was a blistering rock show and my first experience with rough, crazy and moshing crowds. I remember little of the setlist, know this was before Out of Exile was released and therefore the new songs that were played were either off that album, the first album or rarities they never would release. I do believe this was before the Soundgarden/Rage assimilation into their setlists, but I could be wrong on this.
Fiona Apple - Live at the Camden Waterfront, Camden, NJ, July 29th, 2006. By far one of my favorite concert events, and legendary for the fact that to this day this is the only female headlining act I have bothered to see. Besides that, the fact that Fiona tours so rarely these days makes attending this show more of a gem, and considering that I had only gotten into her in March of that year and her last tour was a co-headliner with Nickel Creek, I am infinitely glad I jumped on this one when I did. Being like a foot away from her when she played Criminal and Extraordinary Machine is a totally priceless memory.
And by far what I deem my most legendary show...
Eddie Vedder - Live at the Warner Theater, Washington DC, August 17th, 2008. Eddie Vedder's April Fool's tour in spring of 2008 was his first jaunt without Pearl Jam on the road with him, so when he decided to reprise a solo tour in support of the Into the Wild soundtrack, I made it a MUST to attend, even if my wallet was hurting from the Pearl Jam gig in June. Venturing to DC all the way from Jersey only adds more to the lure that was this special and intimate night, with Eddie employing solo songs, Pearl Jam lullabies, rarities, covers and more in some of the best two hours of my life.