If listening to "Loveless" from My Bloody Valentine, make sure your volume is low, especially if wearing headphones, you've been warned. My ears will never be the same again, thanks. Wow.
The loudest show I've ever been to (and I've been to metal, noise, and other kinds of loud-oriented shows) was MBV, where you could actually feel the sound almost like a wave against your whole body. So I think Kevin Shields would disagree with this advice. :D