Scenes that take place inside a theater or onstage always throw me.  I've just never found an easy way to show that you are actually "onstage" of a different stage.

This would only work in limited scenarios, but I recently went to see the Broadway in Chicago production of Billy Eliot, and for the audition scene where billy is supposed to be on a stage they flew in a baton with lights on it as if tech people had been setting it up and not bothered to fly it out, with that one set piece they perfectly created the image of a stage being set up.