Create a dedicated "CONCERT" page for all the bands that play in one night.
Instead of having one band's page link to another band that played that same concert (as it is right now, with the "related set lists"), or the main band having their supporting acts listed (as someone else suggested), there should be a main CONCERT page for every concert that lists all of the bands that played that night, their playing order, and maybe any other information related to the concert itself.
This could even lead the way to incorporating seating charts, and with that give users the ability to list where they sat.
As it is right now, it's very cumbersome to deal with an entire concert...having to find all of the different bands that played, adding them, and then having them show up as different concerts on your main list. With one MAIN concert page (that could feed into smaller, individual band pages for that show), it would make the setlist.fm experience a lot more solid!

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Ben commented
Similarly it'd be really cool if you could understand the timing of a concert. Doors open never corresponds to when things get going. Could be cool to know the average timing of each band in a concert and their order so that you can shoot to arrive at the ideal time.
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Dan Newcombe commented
Was coming here to suggest a similar thing. Finding opening bands whose names you may not remember can be a pain. Searching by a date doesn't seem to be a thing, so you just have to hunt. What would be a great compromise is what they do with festivals, where you see all the other bands at the festival. A (seemingly) easy fix would be to have a link that simply pulls up any band with the same venue and date as the one you're viewing.
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hprat commented
Agree with all those supporting this idea. Even it's great having all the bands you've seen individually, it's also important to group those bands if they played in the same event/festival, in order to know how many events you've attended (one to one relation to the tickets in your collection), how many venues (now if you've been one day enjoying 5 bands it counts 5 times). The information right now it's ok, I'd keep on showing it like this, but as said here I'd add another statistic for "concerts", I'd love linking bands in the same concert and specify if they were headliners, openers or co-headliners. Now I can't say in how much concerts I've been to but how much bands I've seen so far, and I'm missing this feature as it's something that we, gig freaks, like to know
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Todd Bundy commented
Agreed. While I also see where Lasse David Sand Ostergarrd is coming from, it should be possible to have the bands that played a show grouped together as 'concerts' while the individual band stats remain separate. i.e., someone who only came for the headliner would have been at the same 'concert' as someone who was there for all of the bands, but the bands themselves would also be listed separately. So, when it comes to stats, we will have both 'concert' stats and 'band' stats, and venue statistics should be compiled by 'concert' rather than band. Some alterations to the interface would have to be made so that we can check the box for which bands we saw at each concert.
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Lasse David Sand Østergaard commented
Then again, many people will come just to see the support band and then leave, while others will show up just in time to see the headliner. Seeing them both IS seeing two concerts at the same venue.
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PatrickS77 commented
Yes, I totally agree. I'm in the process of putting my total concert history on setlist.fm. And it is really annoying to have the count at a particular venue, twice as high, just because setlist.fm treats the support band and the headliner as two different concerts (also on the overall concerts one has visited). Also it really makes it overwhelming to look at ones concert list, when every concert is listed with an individual date, even though they belong together. That really is my biggest beef with setlist.fm at the moment.
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ravenheart commented
I'm not sure this is the ideal solution to this, but I agree a solution is needed. Currently it says I've been to X concerts when of course I haven't because a great many were playing at the same show.