Check out
http://www.geocities.com/tborek/samples.html for a short sample of a live video I shot for a local hardcore band (hence, the gritty look to the video). This stage during this particular song had a lot of backlighting, so I had fun with it by applying a directional blur filter. This shot uses only venue lighting; I didn't add anything.
Don't worry too much about perfect lighting when you're going for a live concert feel; all but only the DARKEST venues will offer ample lighting. Make sure your camera is properly white-balanced, first and foremost. You may need to boost the gain/exposure (if you have manual controls) and/or select a slower shutter speed to properly expose the darkest areas. And use manual focus if possible; most camcorders' autofocus isn't reliable in darker situations. If you can shoot the artist at a soundcheck with stage lighting on, choose your camera angles then. If you're still getting ugly shadows or the scene's entirely too dark, bring in a couple of clip-on halogen work lights w/aluminum reflectors in a 3-point arrangement. If the venue will let you bring them in, use the brightest bulbs you can find, and position as far away as possible while still making a difference; you don't want to bathe the stage in light, just enhance what's already there.
Another easy solution in to bring a powerful (20 watts or more) on-camera light with a white scarf or tissue paper taped over the front to diffuse it. The diffused light will prevent hard shadows. I'm probably leaving out stuff, but this will help you at least a little bit. Experience is the best teacher.