Personally, it highly depends on the venue.
The Pantages in L.A. is very relaxed, with most audiences going in very casual wear. The Ahmanson, on the other hand, sees most of its guests arriving well dressed.
Broadway is a mixed bag with some people wearing suits and formal dresses and others in shorts and T's. I'm a slob at heart, so I usually try to find any excuse to wear the old jeans, polo, and sneakers. But, ultimately, I've been to the theatre enough to feel confident in what I choose to wear that I hardly think about it anymore.
Although I did horrify myself at a 2006 performance of Chicago, when I looked in a large mirror in the lobby and saw the sweater I was wearing had a crap load of those awful lint thingies that form when you know jack sh*t about washing certain delicate fabrics. I couldn't take it off either, cause the slob in me wanted to wear some nasty old T-shirt underneath so I opted for nasty lint thingies, reasoning I'd soon be in the dark for act two.
Recreation of original John Cameron orchestration to "On My Own" by yours truly. Click player below to hear.