Definitely wear the earplugs, last time I saw him a few years ago it was insanely loud and piercing...
I've seen him at least 4 times:
Eclipse tour - opened for Dio Lock up the Wolves tour when Jens Johansson was Dio's keyboardist. I remember he threw his guitar in the air and missed it. It smashed and he threw it into the crowd.
Fire and Ice tour - I remember a huge crowd, getting crushed, fairly close to the stage, great show
Seventh Sign tour with Mike Vescara, Symphony X opened... amazing.. was at a small club and we were standing right in front of him the whole time, I got picks, touched his guitar while he was playing, his hair in my face, sweat upon..
3-4 years ago with Ripper Owens - insanely loud, solos were a wank fest, spent more time kicking picks than anything else