The theatre is traditionally entertainment for the privileged, so when you go to the theatre, you should dress accordingly. Depending on the circumstances and time of day, you may dress a little more or less formally, and some theatres are more casual than others, allowing for semi-formal or even business casual dress, but you should always dress nicely at the theatre.
Day time dress
It is a long-standing tradition in fashion and etiquette that events held before 6:00 p.m. are less formal than events held after 6:00 p.m. If the play is taking place in the afternoon, it is okay to dress slightly more casually than for an evening play. However, you should never go so casual as to wear denim, shorts, sleeveless shirts or sandals. A late afternoon dress--a dress in a fun color that is knee length or longer--is ideal for an afternoon at the theatre. Of course, it is always more appropriate to be overdressed than underdressed, but a classic knee-length black cocktail dress is always acceptable. If the theatre setting is a more casual one, it may be appropriate to wear slacks with a nice shirt as well.
Jewelry & Shoes
Wear any kind of jewelry you like, but you may feel out of place if you're dripping in diamonds. A few simple pieces are enough. Heels are best at the theatre, and in warm weather, open-toed shoes are okay to wear.
Theatre after 6:00 p.m. calls for formal wear, and if the play is not a premiere, regular evening wear is acceptable. Evening wear calls for a tea-length (just below the knees) or longer formal dress, or a formal women's suit. All colors are acceptable, but black is the classic choice. If you're wearing a suit, make sure it fits well and that you're comfortable sitting in it. It is acceptable to take the suit jacket off once you're seated inside the theatre.
A premiere usually calls for black tie attire. For women, black tie means wearing the fanciest gown you can find, with the fanciest accessories you can afford. It's traditional to wear gloves with an evening gown or black tie attire, but they are not required. If you do wear gloves, you may take them off once you're seated in the theatre.
If you choose to wear jewelry, wear formal jewelry that complements your outfit. Diamonds and pearls are the most traditional for evening wear, and no jewelry at all is better than jewelry that looks cheap. Take a structured handbag or clutch in a color that goes with your outfit, and wear heels that complement your bag.