Its very difficult to get good shots in difficult lighting. I've found that my 5D MK II / 135mm L combination works well for plays and theatre events, but I don't do concerts. I almost always use primes at f/2 or wider. 35mm L, 50mm f/1.4, 85mm f/1.8 and 135mm L are my favorites.
Low light images with colored lights are fun and difficult to capture.