That means up to the present time, you haven't been there yet.
I never went to a 'Crazy Cats' concert.
That means you didn't have a habit to go to the 'Crazy Cats' concert(s) in the past, or in some time in the past, you went to the concert, after you hadn't had been to it.
There is usually no difference. Both the past tense and the perfect are used with always, ever and never. The past tense is more peculiar to American English whereas the perfect is common in British English. This is a famous Mark Twain quote: "The coldest winter I ever spent was a summer in San Francisco."