I've always preferred club venues for sound quality. No, you won't see U2 but back in the day all the cool indie bands played the clubs.
Now? I can't stay up late enough to even see the opening act. A few years back I had tickets to see Killing Joke. I figured I could see at least a few songs before sneaking out to head home to bed. Called the venue to see what time they'd be on, and the answer was "some time after 12:30." OK, not gonna be awake at that time.
I know it's not rock'n'roll, but hey it's the music of the older generations now, not the children, and it would be great if there were more early shows.