I use a minidisc with sound professional cardioid mics. Does ok for me although I've wondered if i should step up my gear but i think it might start to impact on my enjoyment of the show if I start to worry too much about the recording. I tend to take a 'if it comes out ok then fine, if not that's the way it goes' viewpoint.
The minidisc is small enough to conceal unless it's a body search. i usually don't bother taking it to those venues although if I'm not sure what the venue does then i put my minidisc in a camera case and hope they don't look inside.
Once you have bought something then your next enemy is recording levels. Took me a few shows to get that right but as long as it isn't too high then you should be ok. my minidisc has a range up to 30. For a semi loud show like the crows at glasgow i had it at about 19. probably about 15 would have been better as i got a couple of high end fuzz moments.
When i was recording Judas priest in Feb it was down at 9. Acoustic shows i take it up to 22/23.
Lastly you will find yourself getting more annoyed about the talkers around than normal