I have taken them to a few concerts. I just feel they are too young to attend alone and I wouldn't allow them to see certain bands such as bands that promote drugs or devil worshipping.
I wouldn't take my kids to any concerts where excessive profanity could be heard (depending on their ages), but I'm not sure I would be too concerned about "devil worship". I don't really think there are any bands out there promoting devil worship. Those who might are either doing so as parody, or are so bad that nobody would want to see them anyway.