This article is from the Theatre FAQ, by aku@leland.Stanford.EDU (Andrew Chia-Tso Ku) with numerous contributions by others.
There are no dress codes at theaters - you can wear whatever you like.
If you've spent a lot of money on tickets and want to make your
theatergoing a special event, by all means dress up (suit and tie,
nice dress, etc.) On weekend evening performances, audiences may be
dressier, but you will always encounter people in jeans, t-shirts,
shorts, etc. as well. Wear what you will be comfortable in. If you
want to show proper deference to the art form, it's far more important
that you not talk or make noise during the performance (unless it's
laughter or applause, of course.)