It really depends on what kind of concert you're looking for. The Art Center definitely features the most concerts throughout the year - everything from school recitals to renowned musicians to the annual Nutcracker in December. The Union Depot also has shows from time to time, including the odd burlesque show and ballet.
If you're looking for live music, personally I like to hunt down the local shows happening in smaller venues. The Daily Grind, the Cock and Bull, Phil's Radiator - these venues have local bands playing at least once a week. Depending on what kind of music you like, you can find just about anything at some of the bars and coffee shops in Pueblo. The Grind usually has acoustic or jazz bands; the Cock and Bull likes to feature folk artists and bands; and Phil's usually caters to the younger crowd with local rock and metal shows.
