The concert is but one part of the convention called Tekkoshocon. Some of the big highlights include the cosplay performances, The AMV showings, the panels with guests from the anime industry, workshops for drawing, model-building, etc, video game contests, anime-themed game shows, karaoke... and there's still more to add to the list.
Check out their website here:
http://www.tekkoshocon.com/You can wear anything you wish. Not many people wear formal attire (most people spend their time at the convention in comfy' clothes, and make no exception for the Piano Squall concert. Some people wear costumes to the convention. And of course, Piano Squall will be dressed up as Squall from "Final Fantasy VIII" while he's performing.