I recently had my first gig shooting experience, see my thread
http://www.talkphotography.co.uk/forums/showthread.php?t=141000
I arrived at the venue about half an hour before doors opened, but was told to wait until official doors time, and also I confirmed that I was on the guestlist. Once people started queueing and doors opened, I was called first and let in before the rest of the fans.
Obviously there isn't really much you can do until the first support band come on, but basically if it's a small place then lighting isn't going to be great. Don't forget your earplugs, and try and find a nice position at the front and wait!
Settings wise, I used RAW, full manual, spot metering, ISO3200 (there was a small lighting rig) and wide open on my 18-50mm f2.8 lens. I had to keep adjusting shutter speed on the fly and it was kinda hit and miss, but I tried to keep above 1/125 sec. I did try Aperture Priority, but it went a bit crazy! Also I was selecting focus points manually to try and get the face in focus, otherwise at times I found it was locking on mic stands etc.
After reviewing my shots, about 40-50 out of 400+ I shot actually came out OK (see my Flickr- Blaze Bayley gig), which I think is not bad considering it was my first time shooting a gig! The advantage of RAW is that you get much finer control especially with regards to noise reduction. I was very surprised at how clean the processed ISO3200 images from my Canon 40D looked (similar to ISO800 from in-camera JPG!).
Hope this helps.