As far as gear goes, a standard zoom lens and a wide-angle zoom lens are your best bet. There isn't likely to be a photo pit, so you'll be jammed up against the stage if there's a crowd. Show up early to stake out a space.
Theaters. Unless the band brings their own lighting setup, most theaters have pretty static lighting. The lighting is often tailored for plays and performances so there generally isn't very dramatic lighting. Theaters are seated, most likely, so there usually isn't a photo pit. You may have to shoot from the sides or the soundboard depending on the venue.
Bring a telephoto zoom lens with you—a 70-200mm ƒ/2.8 works well. Telephoto primes like a 300mm ƒ/2.8 often work well in this situation, too, since your composition is likely to be loose. If you know you'll be shooting from a distance with a long lens, bringing a monopod can help.
Stadiums & Arenas. This is where you find the most dramatic lighting. Lights of all colors will be flashing, blinking, rotating and strobing. You get your most dynamic shots at these types of venues.
Generally, the stages are wide and tall, so I recommend bringing a full assortment of lenses at first—a wide-angle zoom, a standard zoom and a telephoto zoom. Once you become familiar with the venue, you'll know which lenses work best and can tailor your selection.
Music Festivals. These types of events usually run the whole gamut of the shooting experience. You can shoot a small intimate stage with little to no lighting in the day to a 20-foot-high stage with a full-on light show to everything in between. You'll encounter all types of lighting situations, from daylight to stage light, front light and backlight, diffused lighting to straight-on hard light.
These types of events usually run a few days long, so I pack heavy. I usually bring a wide-angle zoom, a standard zoom and a telephoto zoom for standard shooting. I also bring along a fisheye lens for crowd and atmosphere shots, as well as a 50mm ƒ/1.4 prime for artist portraits. Don't forget to pack extra batteries and memory cards—the days tend to run long.
ETIQUETTEThis may seem like a silly topic to bring up, but it's necessary to know that you must be considerate of the other photographers, the performers and the fans.
Don't be a lifter. This is a person who lifts the camera above his or her head to get a "Hail Mary" shot. This blocks the others behind you, and I've seen this lead to many arguments. If you feel you must use this technique, go to the back of the pit.