Venues for concert or theater?

I don't think there's any official way. There are random "Talent Showcase" events that pop up, where you can go to a lounge and the sims will perform, and some of the sims will try to watch them.. but it's far from perfect and you don't get to choose the venue.

Clubs are a decent way to pull something like that off until they implement a proper venue for it. If you've got a couple clubs set up to meet at the venue and set "watch live performances" as one of the club activities, it might work decently that everytime you visit, the club will show up there ready to watch any performances. I don't know if they'd sit down while they watch, though.