Just a few weeks ago, I found out that thread_concurrency's purported magical effects at correcting MySQL's concurrency limitations (especially in 4.1) were something of a myth. It was a post on mysql's lists that alerted me to this. Apparently it only works on Solaris, Linux's threading library ignores this parameter completely. This is not to be confused with innodb_thread_concurrency, which is quite useful in controlling the flow of transactions through InnoDB. I think the problem really lies in the fact that the default my.cnf example configs tell us to set thread_concurrency to the number of CPU's*2. They fail to mention that this only matters on Solaris, though the manual is quite clear.
I think I set this parameter to 1, 4, and 8 trying to see if it would affect things positively or negatively on quite a few 4.1 boxes. I always just sort of assumed it was going to help prevent any sort of snowballing of server load if it ever got hit hard.
Yet another example where its important to RTFM!