I was 11 when I saw my first U2 show (Dad took me) and I just remember being very excited. Afterwards, U2 were my idols and have been ever since. After that show my Dad took me to see them at Wembley Arena on the Joshua Tree Tour and I remember being more excited than the first time, simply because U2 were now my favorite band and the album they were touring had 11 masterpieces on it and they didn't disappoint.
By the time I saw them on the Lovetown Tour and Zoo TV, Zooropa, Pop, Elevation and now Vertigo the excitement of seeing them never changed no matter whether it was the 4th show I was attending in 5 days or the first show I was attending in a couple of years.
For me, although I've loved all the shows I've attended for one reason or another, for sheer quality of performance and the band enjoying themselves with a stunning crowd reaction from the first to the last chord, I would have to say London, Earls Court, August 19th 2001 was my favorite show. Just seven days before I saw them play the worst I've seen them, in Manchester (12th) , but even then their worst was better than some bands best!!
Just go to your second show and lose yourself in the music and you'll have a great time. Whether it ends up better than your first U2 experience or not really doesn't matter as long as you enjoy it.