I don't think I'd be embarrassed, per se, but I would like to see The Killers in concert. Are The Killers even together anymore? I have no idea. I actually don't follow the band all that closely, but I liked their first couple of albums and based on video clips I've seen over the years their live performances just look really fun. I don't think their name has ever come up in conversation with any of my friends, though, so I would never suggest the band as a potential outing to them.
(I could, of course, drag my husband along to a concert or go solo, but I'm just not passionate enough about music to be bothered.)
If asked this question a few years ago, I might have said My Chemical Romance because I enjoyed a lot of their songs from "The Black Parade" but they were far too Hot Topic trendy for me to admit to liking them.
Other bands I would like to see in concert, just for the experience:
KISS. I don't even listen to their music, but those guys are all about putting on an entertaining show, and I appreciate that the band (in its various incarnations) has been slapping on the facepaint for forty years now.
GWAR. While KISS has music that I'm neutral on (I can't name any of their top hits) I'm pretty sure I wouldn't like the music of GWAR, but I still think one of their concerts would be an experience worth having because they're so theatrical and over-the-top. Then again, all those pointy tits and hairy ballsack-like decorations on their costumes might result in a need to stab out my eyes by the end of the evening.