Thank you for all your tips and pictures.
I know there isn't a standard setting you can use for every show, but it's usefull to have some good tips on settings. I usually use the support act to see what the lights are doing and what settings I need to use because of the distance to the stage. You'll need to adjust the settings a bit when the main act starts but you'll have the major things set and are ready to go.
I always use burst, just to get those special expressions or mistakes that happen on stage. When I do a few shows in a row I have a hard drive with me (actually my mp3 player) which I can connect directly to my camera and transfer the pictures after the show. That way I always have enough space on my memory cards and don't have to look at the pictures during the show. I'll sort them when I get back home.
The drummer always seems to be looking another way or hiding behind his kit when I take a picture. Usually the lights are not perfectly set on the kit either so the pix are dark or blurry. Facial expression is priceless, guitar players are great facial expression makers too.
In the end it all comes down to getting more and more experienced and knowing how your camera works.