I also recommend completely ignoring the camera. I find 1/125 at f/2 and 1600 speed film works well for most well lit stages. The camera will probably recommend something really stupid that will blow out your subject (or underexpose and drown your subject in noise).
Originally Posted by j-dogg
If you can get ahold of some Neopan 1600, this is my favorite film for BW live music. Also, if you're going to be delivering or printing the images digitally, I've had great luck with desaturated Portra 800 or Pro 800z (I know this is gone now too).
If you're shooting Medium Format, you're golden cause Delta 3200 looks great. I don't love Delta 3200 on 35mm.
Here are some example photos with Neopan 1600 (Spotmatic and Super-Takumar 50mm at f/1.4 or f/2):