Yes, I forgot --Reg is absolutely right--the Pavillion is a great place to see a show.

The Middle East and TT the Bears are great places to see shows in Cambridge. The Paradise in Boston, by BU is good too. I'd avoid any bars on Landsdowne by Fenway. It's a bit of a zoo and often chock full of drunken losers. No shortage of late night arrests there.

Sometimes--if you get the Phoenix (it's online, I think) you can find free shows at the Hatch Shell on the River. It's an outdoor stage with a great lawn in front of it. Frequently, name acts play there. Lots of fun.