Some really good answers so far IMO. (Not that there are any "wrong" answers, but you get the drift).
Band: Nirvana
Album: Nevermind (Nirvana). I was 14 when it came out and it completely blew me away. Totally changed how I looked at and felt about music.
Song: This is impossible to narrow to just one, but I could make a list of finalists from some of these:
Thunder Road (Springsteen), Man Who Sold the World (Nirvana cover), Smells Like Teen Spirit, Heart Shaped Box (Nirvana), Thirty-three, Today, 1979 (Smashing Pumpkins), Drive (R.E.M.), Karma Police (Radiohead), Bulls on Parade (Rage Against the Machine), Mrs. Robinson (Simon & Garfunkel), Molly (Sponge), Pride (U2), Baba O'Riley (The Who), The Scientist (Coldplay), Rearview Mirror, Why Go (Pearl Jam), Jesus of Suburbia (Green Day), Hysteria (Muse), All These Things That I've Done (The Killers), American Pie (Don McLean).
Concert: Clutch. Saw these guys at some tiny dump when I was 16. Not a huge fan of the band, but easily the most fun I've ever had at a show.