Jimi Hendrix Experience anytime
Black Flag around 85
Bad Brains in the early 80's
Sonic Youth Bad Moon Rising era
Dinosaur Jr. in the 80's
Husker Du anytime

I could name a lot of bands/musicians that aren't together anymore, or are past their prime, but the one that really kills me is Johnny Thunders. There's no helping that.

Birthday Party would've been great. The Stooges as well.

iggy & the stooges (w/james williamson)
dead kennedys (w/jello)
pink floyd (w/syd)
can (w/damo or malcolm)
velvet underground circa '69
n.w.a.

nirvana
the doors
the smashing pumpkins (with d'arcy)

SY during their Confusion is sex tour
Nirvana
The Beatles
Velvet Underground
The New York Dolls

I've seen a fair amount of the ones named, so I count myself lucky, but

The Velvet Underground
Jimi Hendrix Experience
Sex Pistols
The Beatles
John Coltrane Quintet or Quartet
Talking Heads

I saw them twice (on the Isn't Anything and Loveless tours) and was totally blown away both times. Sonic Youth's 91 tour with Nirvana supporting was the only gig that compared for a long time, although the Mary Chain in '87 was pretty special too.
Finally got to see the Who a couple of weeks back and they were still incredible - must have been just astonishing in their heyday.

You lucky bastard.

Would prefer to have seen them earlier, (during the 10 minute set + riot period :D ) but it was still a pretty short, intense set (about 35 mins), just after Darklands came out.
Saw them a couple more times on later tours, but the first time was by far the best.