Does anyone explore live experiences like music and dance performances while travelling?

I went to Thailand some time back, and without much planning, attended a Alcazar show. I was surprised how good it was and how much I enjoyed it.

Are there are other such places and performances? Do you regularly try to find them when you are travelling?

What other varities are there? I like theatre and comedy shows but they have a lot of local content and might not be suited for a traveller, opinions?