I enjoy seeing bands, sports and really pretty much any event in a small venue and with a reasonably small crowd.  The warmth and closeness that you can have in a small venue is just awesome.  It makes the show come alive in a way that the big shows (at least the ones I've been to) can't seem to match.

Concerts

Concerts are one of my favourites. I love the music, I love the rhythm, I love the chance to dance (although I am occasionally a somewhat reluctant dancer). And I've been to a number of large concerts in stadiums and outdoor stages. And so far, I'm still loving the small venue with it's less popular band over a large venue and a wildly popular band. The conversation that a band and crowd can carry out in a smaller venue is awesome. The band stirs the crowd up, and the crowd starts giving the energy back to the band and soon, it is one awesome collective experience.

Amateur Sports

Going to the game live is pretty neat because you have the chance to be in the atmosphere and I'm certainly not saying the watching an event on TV is any substitue in the atmosphere department. But I will say that when it comes down to just seeing what is happening during the game you're almost always better to watch on TV, unless you can get tickets right up front (or go to a game where the crowd is small enough that pretty much all the tickets give you a spot that is right up front.

In both cases, whether an sporting event or a concert, the atmosphere is the reason to go and see it live.  And for my money it seems I enjoy going to twice as many small events and spending the same money as I would on one big event.

Supporting Where It Counts

The last great thing that going to smaller local shows and sporting events does, is support the events that really need support.  The band that tours across Canada hitting all the little cities, they need your support to keep going!  The local team that is playing week in and week out in the local college gym, they need you to get in there and buy hot dogs so they can keep playing! Your contribution to what they're doing is notice-able and significant.

Big Names and Watching Success Grow

There's no way around it.   If you're into supporting smaller shows, smaller venues, amateur teams, you aren't going to be seeing the big names play.  There's just no two ways about it.  I think this is something that the local supporter just has to come to terms with.

Equally troubling is watching a band/team/player grow from a small venue to the point of popularity that they can no longer play small venues. If/when someone does make it big who you supported through the course of their success they reach the point that the small venue supporter probably won't go any longer. It's kind of a sad time, a parting of company although one can always go to the big shows. It just won't be the same. And at that point, perhaps there is nothing left to do but reflect back on those first shows and enjoy the memories. In some ways being a small venue support you get to be involved in the growth of the group/team and that may be a reward all it's own.

Addendum: One totally awesome thing about going to smaller shows is how much more accessible the players or musicians are.  Chances of meeting a performer at a small show? 1:1 large show? 1:100, maybe worse!