@larsman - this was the Cabaret Metro in Chicago. There are many venues in Chicago that will go late. Or well at least they used to when I was a regular at shows. I did get to see Killing Joke in 1989 and so I'm not upset I missed them, but man, I'd go see many concerts if they were over by 8:00.
I saw U2 at the Aragon in 1984. The Aragon isn't a small club, but nowhere near an arena or stadium either. They were spectacular and the sound was really good. Seriously tight band. Then saw them at Soldier Field. More like holding up a postcard of the band while listening to a CD.