I don't go to large venue shows much anymore, I discovered several bands/groups that while making some excellent music fly under the radar a bit. I usually just check in on their websites periodically for info, I'm also a regular at one of the local record stores where a couple guys on the staff there no my music taste and recommend shows in the area.
Given the two choices I prefer smaller venues by a wide margin, tickets are a lot cheaper and the bands/artists are a lot more accessible, not uncommon to see them before or after the show and get the chance to chat a little bit.