It definitely depends on the venue. While there are some which won't even allow you to take photographs of each other before the show there are others who won't mind you clicking away all night. It's best to ask the people who have been to the venue before on the individual thread about the gig you are going to.
Generally they all won't allow you to bring anything bigger than a pocket camera. And please do not use a flash as that's very uncomfortable for the artists performing.
Good luck and please come back and share your pictures afterwards!