[full disclaimer on experience - front row for Green Day, Oasis, Noel Gallagher, Stone Roses at 100,000+ capacity gigs, plus the pit for several down-and-dirty punk things at Brixton Academy and others far too numerous to mention]
I've been to plenty of gigs (including the sort where they have metal detectors on the doors and do full patdowns). I've never had a problem. Security staff are trained to recognise insulin pens (although they always refer to them as Epipens) and generally I don't think you're going to need any additional ID.
The only problem I've ever actually had at a gig was at Benicassim last year. I keep my glucose tabs in a reusable caddy that clearly has 'glucose' printed on it...but unfortunately, not in Spanish. The security guy (actually local police) was very interested in this so I had to drunkenly just explain "Azucar, diabetico". Then of course we got to open the little packet which is filled with a lot of chalky round white tablets, exactly what a police officer wants to see you carrying around with you into a music venue.
Fortunately the bloke next to him was much more on the ball and understood what they were!
Best advice I can give you is to carry your insulin in something with a pocket that zips or buttons up securely - if you go to the kind of gigs I do, there tends to be a lot of movement and it's no fun having your insulin fall out. Keep it in the same place you'd keep your phone.