1) I would have gone to the concert if I had known about it.

This means: I'm annoyed nobody told me about it.

2) I should/ought to have gone to the concert.

This means: Everybody who went told me it was great. I wish I had decided to go now.

3) I might have gone if somebody had told me.

This means: I'm not especially worried about the fact that I didn't go. No problem.