Ok, here's my live gig story!
I'm starting small with a few local bands. I did some practice shots at a small gig for a friend of a friend who sets up gigs at local bars etc. From that, one of the bands decided they wanted me to do some promo shots for themselves, which was awesome. They loved those, so asked me to cover a gig they were organising, so I did, and it was awesome, again

Following that gig, one of the bands recently asked me for a double whammy of sorts - spend the afternoon with them doing some promo shots, then travel to a gig with them to photograph their performance. I stood around most of the evening using the support bands as test shots, then when 'my' guys came on, I shot the entire thing. Yeah, I probably annoyed the crowd a wee bit with my movement, especially when I snuck on stage and took some from up there

I've now got some good friends in the local music scene, most of whom are using my pics as their profile pics on facebook, with a watermark to my flickr page

Other people are seeing it, and I'm getting occasional enquiries about covering gigs from other small local bands!
I've never tried photographing at a 'big' gig, or at a festival, because I don't think I'd like the idea of being hauled out after 3/4 songs or whatever. Also there's the time pressure that comes with it, you've got at most 15 minutes to get a load of good shots, whilst in amongst other photographers who are all going for the same thing. Shooting the local bands is proving to be great fun because we've built up a friendship along the way. I know I've got a fairly relaxed shooting session where from time to time they're going to look directly in my lens and pull a daft face, move to the right slightly so I can capture the drummer, etc etc. I get a couple of beers with them afterwards as well, it's all good!
Maybe give that a try? Everyone knows someone whose brother's mate's sister's uncle is in a local band, so see how you get on

I'm having a whale of a time, and I know that if the last band I shot start touring, I'm probably going to be their first choice when it comes to a dude with a camera!