One of the unforeseen advantages of the smoking ban in pubs and clubs is that it is now possible for the first time to take flash photographs of bands in small venues without the flash merely illuminating a haze of cigarette smoke. However flash is still best avoided for gig photos unless there really is no other option. The flash light drowns out the stage lighting, and it also has to be said that few musicians and even fewer audience members look as good as you hope when clearly and brightly lit. If the venue is simply too dark for non-flash photography, try using the night-portrait flash option that most digital cameras have as a standard feature. This is actually a second-curtain sync slow flash which can produce excellent results in gigs. It's best used at fairly close range, ideally less than a couple of metres. It is particularly good for high-energy gigs such as heavy metal.
In any other situations, it's better to simply turn off your camera flash altogether. At any concert or sporting event you'll see hundreds of flashes going off in the audience, usually dozens of meters away from the action. All of these people are wasting their time, because even the most powerful built-in camera flash has a useful range of only a few metres. Even the most powerful external flashguns only have a range of about 30-40m, and if you try firing one of those off in a darkened room people are going to get very cross with you, once they regain the use of their eyes.