Hi Vivaldo,
The short answer is no, there isn't really a difference. But it depends on context (doesn't it always?).
Go = move from HERE to THERE.
Come = move from THERE to HERE.
But in your examples:
"I'll go with you"... to the concert - we will attend it together.
"I'll come with you"... to the dentist's - I will accompany you and provide support. This one, at least to me, seems to be more supportive.
You could still say "I'll come with you to the concert," but for me, there might be a part of you that doesn't really want to go. Like I said above, it's more supportive.
Still, there isn't a very big difference at all. They mean the same thing, for all intents and purposes.
Hope this helps!