Well, I'm assuming...as others have said...it depends on the theatre. I went to the Majestic one night with my messenger bag, a shopping bag, and I was carrying some of my friend's shopping (the shopping trip wasn't my idea)...and they didn't care...they just peeked to see if I had any stuff for bootlegging.
Few weeks ago, I went to Forbidden Broadway with a large messenger bag, my backpack, and a garmnet bag. It was awkward to manage, but no one at the theatre cared.
http://www.hugh-panaro.net