(1) Dress the part: This doesn't mean that you need to dress up. At most theatres, there is no real dress code aside from being expected to look like a normal, decent human being (keep it a step above "No Shirt, No Shoes, No Service," please). But make sure to dress comfortably. Many theatre seats are packed in quite close together, and if you can't easily cross and uncross your legs, for example, you might be in for a couple of hours of distracting discomfort. And many theatres are also highly air conditioned (often for the performers' comfort), so bring a sweater. Two or three hours is a long time to be shivering.
(2) Take your tickets seriously: If you have them in hand, don't forget them (obvious, I know, but there's nothing worse than finding out that's the one thing you forgot). If you had the box office hold them at will call, make sure you know where to go to get them and leave time to pick them up. And if you'd like to save your ticket as a memento, don't let it get crinkled up in your pocket (I usually slip mine in my program but leave it hanging out a bit; that way I don't forget it's there and let it slip out accidentally).
(3) Make time to have time: Depending on your venue, you will need to budget a certain amount of time to make sure you get into the theatre promptly. If you're not sure how long it will take you to get to the theatre, err on the side of caution. You can always kill time, but you don't want to miss part of the show you've paid for. And late seating can be a disaster. Depending on the show, you may arrive five minutes late but miss 20 minutes of the show, and you will be no friend to the patrons that you are edging in front of during the performance, either.
(4) Park strategically: If you're heading to Broadway, parking probably won't be a problem since you'll likely be taking the subway, a cab, or just walking from Grand Central Station (If you're thinking of driving, reconsider. Parking is expensive and inconvenient in midtown Manhattan). At regional theatres and performing arts centers, show times can throw the entire surrounding neighborhood into a bumper-to-bumper nightmare. When I see a show, I park in the back of the lot, where there is the fastest exit to the highway. After the show, I book it to my car and slip out the back way to avoid the traffic.
(5) Protect your program: If you're a collector like me, you want to make sure your program is in tip-top shape when you get it home. It can get wrinkled, bent, and ripped in purses and coat pockets. I suggest stowing it far under your seat but not so far back that the person behind you can step on it. I actually take it one step further. I store my programs in an official Playbill binder (or rather, a set of them), and so I take a plastic sleeve from the binder to the show, slip it in when I'm done reading it, and it protects my keepsake all the way home, where I can simply slide it back into its place.
(6) Snack cautiously: Many theatres don't allow outside food and drink (they make a pretty penny on the marked-up items they have for sale), and too much snacking can be messy and loud, a major faux-pas in the theatre. But there's no reason you couldn't enjoy a quiet snack like a roll of hard candies (NOT individually wrapped) or chews.
(7) Beware the bathroom line: I usually abstain from drinking anything before and during a show because I don't want to have to miss anything to use the restroom, but I don't want to be uncomfortable, either. But even during intermission, the queues in front of the bathrooms can be outrageous. Avoid the stampede if you can.
(8) Bring tissues: If you're a crier, this is a no-brainer. But if you get a suddenly runny nose, you don't want to be wiping it on your new blouse or coat sleeve, either. And please, no honking during the show. If you must, that's best saved for the bathroom.
(9) Put the phone to sleep: You should probably turn your phone completely off. If you set it to vibrate, the people around you can probably still hear it. And even if you turn the ringer to silent, are you sure that includes all alarms and notifications? Leaving your phone on isn't worth the rudeness and embarrassment it will cause if it goes off. You're not going anywhere for the next two hours anyway. And you definitely don't want Patti LuPone yelling at you.
(10) Bring a Sharpie: You never know--this might be the night the star comes out to sign autographs! I'd say bring a camera, but who doesn't have one on their phone?