-Theater of the Living Arts (TLA) on South Street. Small house, great stage and atmosphere. Parking's a bit of a PITA, though. Saw Dragonforce here last October. An excellent show and an excellent venue!
-Electric Factory, just off of Callowhill Street. Awesome venue, MASSIVE floor. Great place for a show with a pit (saw the Dropkick Murphys here last year. AMAZING circle pit!)
-Scottish Rite Auditorium. Okay, this one's in Collingswood, NJ, but it's still a great place to see a band. Saw Great Big Sea here back in 2007, and would highly recommend the place. Not a bad seat in the house.
As far as bands are concerned, I've got a few friends in bands. Nightfire is a metal band that plays more down in Delaware (the state, not the county), but they get a few gigs in Philly now and again, and my other friend is part of the acousti duo Blind Drunk (he's the drunk, his buddy Paul is the blind guy). They mostly play smaller bars but do get a few good places like the Broad Axe Tavern.
Shadowmage I agree about the TLA but the elec**** factory is another story. Terrible sound, too big of a space for nearly any band to fill, way overpriced drinks and their door policy is very annoying (as are most these days, to be honest). Don't get me wrong, I've seen some great shows here (Of Montreal - Halloween 2009. WOW!) but every one of them would have been better had they been in a different venue.
The First Unitarian Church on 22nd street is a great place, also, AND they book a huge mix of good bands.
Depends what your looking for... there are a ton of hole in the wall bars that have bands in the city, there are the bigger venues and then, of course, the huge places that change names every few weeks.
+1 for the First Unitarian Church.
World Cafe Live is a nice venue, also has a good mix of bands that come through.
The Elect. Fact. has poor acoustics. Although when I went to more shows, years ago, they had some big names play there.
This thread may benefit from being more specific, since Philly has such a expansive music scene.