Going to the theatre is usually a fancy affair, and it's always fun to dress up for an event like that. Depending on the show and the time of day, you may dress a little more or less formally. Some theatres are relatively casual, but either way, always dress nicely.
Daytime Dress
It's a long-standing tradition in fashion and etiquette that events held before 6:00 p.m. are less formal. If the play is in the afternoon, it's okay to dress slightly more casually than for an evening play. A nice knee- or floor-length day dress can work. Sometimes it's more appropriate to be overdressed than underdressed, so a classic knee-length black cocktail dress is foolproof. If the theatre setting is pretty casual, slacks with a nice top may be fine, too.
Wear any kind of jewelry you like. A few simple pieces are enough. For shoes, heels are great, and in warm weather, open-toed shoes are okay to wear.
Evening Dress
A show after 6:00 p.m. calls for formal wear. If the play isn't a premiere, regular evening dress is acceptable—a formal dress that's tea-length or longer, or a formal women's suit. If you're wearing a suit, make sure it fits well and that you're comfortable sitting in it. Feel free to take the suit jacket off once you're seated inside the theatre.
Simple, formal jewelry and classic heels are perfect.
Premiere Night
A premiere usually calls for black-tie attire. For women, black-tie means wearing the fanciest gown and accessories you can afford. It's traditional to wear gloves with an evening gown or black-tie attire, but not required. If you do wear gloves, you may take them off once you're seated in the theatre.
Diamonds and pearls are the classic choice for accessories. If you don't have any formal jewelry, then it's fine to skip jewelry altogether. Take a structured handbag or clutch instead.