Definately the Nokia Theatre (NYC) in terms of "small" venues. Great atmosphere, sound is awesome, they actually have a water fountain, and the people there are just chill. Cheap admission too and great quality everywhere! Roseland Ballroom (NYC) is a close second though.
In terms of bigger stadium venues, hands down PNC Bank Arts Center (NJ) beats any. The atmosphere is just epic, and it has a great mix of outdoor and indoor with the roof on the top. The concession stands aren't in the way, the merch stands are accessible and whatnot, and with every show that I've been to there the sound is kickass! It's a shame it's so far from me, but I'd go anyday! Had my best concert experience there, so that's always good