Depends, I go to coverbands sometimes, though I don't see them as the real deal. Do they count or should I mention my last actual concert? Ah, I don't care.
Last coverband: Rammstein coverband
In my last actual concert there were 5 bands. It was at a thing called Darkfest.
The bands: Lake of Tears, Scar of the Sun, Moonspell, Swallow the Sun, Pain
And speaking of Megadeth, Megadeth is the first I've ever seen (not counting a festival I went to some years before that). It was actually 1 and a half years ago, the third years head at our highschool happened to know I was a metal fan (Which is extremely rare here in the Netherlands, especially at my school) so I got a free ticket ^_^ Happiest day of the year.