Sketching while attending concerts is some of the most exciting sketching that I do. I use my same supplies as normal - a pen or two and watercolor paints - to capture the artists and bands while they're performing.
Part of concert sketching includes the performers themselves along with their instruments. If I'm sketching an artist while they're playing, I try to capture the way they're moving. While my style always stays the same overall, this means sketches might look different for hardcore artists versus country versus rock and so on.
In addition to sketching the performers, I like to capture the other aspects of a concert as well. This can include members of the audience, decorations, food/food trucks, the way people hold drinks, the atmosphere and lighting and so on.
I've done this kind of sketching in a variety of venues ranging from large, outdoor music festivals to smaller clubs. I've sketched performers from a wide range of genres. If music is playing, I'm happy to sketch it.