Several times actually. Well... 3 to be exact.
I know I'm a weird dude, but I don't see much of a difference between going with friends and going alone. None of my friends in this city like rock music (I'm being intentionally broad here.. they'll pretty much only go to hip-hop or electronic shows) so I've went to a few shows by myself. I enjoy them just as much as shows I go to with friends, and the only downside is that you don't have anyone to talk to about the performance as it ends. It's easy enough to just talk to the people next to you if you're on the floor while the band is playing if you need to be social and people are generally quite friendly due to the fact that you enjoy the same band.
...and I guess it doesn't hurt if you're the only black guy in the venue as well.
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http://soundcloud.com/thundersheep/lunatic-asylum
http://soundcloud.com/thundersheep/summer-rain