Hands down, First Avenue is the best place to see a concert if you're ever in the Twin Cities. The price is always low, typically $10-20 dollars [US] and there are no extra fees if you purchase from a local record store. I've seen quite a few bands here when they were no so well known. The place only holds about 300-400 people I would guess and you're so close to the band you can see them sweat.
If you've ever seen the Prince movie "Purple Rain" the concert footage was all filmed at First Avenue.
The stars on the building exterior are all of the bands who have performed there in the past. Some notable appearances: Metallica, Queen Latifa, Joe Cocker, Billy Idol, Beastie Boys, Motorhead [seen once], Anthrax [seen twice], White Zombie [seen once before they broke up], Big Head Todd & The Monsters [seen once] and many many many more. I'd like to take a photo of all of the stars some day, but that will be down the road someday.
If you ever get the chance, I urge you to see a concert here. Check their concert listings at first-avenue.com and be sure to check out their history page as the building was once a Grey Hound Bus Depot.