I've been to the U2 show in Dublin, back in July. Because I was scared off by warnings on forums I didn't take my DSLR, I only had the GA645 and an old 2mpix Panasonic super-zoom (which crapped on me just before the show, it would just not start most of the time so I only got a few pics with it). The GA645 was too wide from where I was standing (seats, not grass). The panny would have been just great if it worked and if it had more pixels. The show starts when there's still plenty of daylight and indeed the stagelighting allows for decent speeds most of the time, even from a distance, and especially with a stabilized lens. Manged to get one decent, quite grainy BW converted print from the panny, with the entire band. The slides from the Fuji look great, but I don't have a scanner so I can't post. But, as someone else just said, I saw many people with DSLR's, some even with long zooms and nobody told them a thing. There was no security control at entrance AT ALL; I mean, nobody checked the bags, no body check, nothing, we just showed the tickets and went in. So, I regret not having the DSLR with me, but I'll know next time...
Now I suppose that if you show up with some behemoth telephoto someone will ask you to put it away, but otherwise it seemed to me that one could get away with SLR and long zooms no problem. Of course, that's just my experience at one show in Dublin, things may work out differently for you... but good luck anyway.