No, I always fly to an airport. Safer that way.
Seriously, though, I've been known to do this. If you've got a multi-city fare sale, for example, and the need to do trips to build miles (I can't bring myself to do pure turnaround MRs), then it's often useful to check POLLSTAR (
www.pollstar.com) first, especially in the Charts section (top 50 tours), to see who's touring and see if anyone excites you. If so, it can be an incentive and a tiebreak.
For example, the MR concert of the year last year had to be U2 at Aloha Stadium in HNL, the only U.S. stop on that leg of the tour. Saw it from the nosebleeds and later kicked myself for not buying the special t-shirt or poster. The shirt seemed pricey to me at $35, but they were being flipped onto eBay for $350+! Would've been easy to recover cost of that trip!
McCartney in Antwerp in 2003 was another one, tied together with a trip to AMS and Jaarbeurs. 2-euro Hoegaardens were nice, but being charged to use the bathroom seemed odd.
Prince in Edmonton in '03 was another; in both that case and McCartney I discovered it just as tickets went on sale. Pure, dumb luck.
The Police in DEN will be the next one. Right now they're not scheduled for ATL, so that could be the best shot at it.
Maybe 1 trip in 5 will have some kind of concert possibility. I usually only buy nosebleed seats.