So as the daughter of a jazz musician, I occasionally get to have fun taking photos of my mother and her fellow musicians out at their gigs. I thought it might be fun to use some of their pictures to talk about how to take better candid shots. So obviously when you are photographing a band, or a group of kids on stage (the list goes on...) You can't change what they are doing and you can't change the limited number of angles that you have. I have a couple tips on doing the best you can with a difficult shooting situation.
The first tip, when I go on any photo shoot, I set my camera settings ahead of time. The benefit to this is that I am relatively confident that I am not going to miss any of the action. If you are in the same room for the whole time (barring being closer and farther from changing light sources like windows) you can usually make sure you are happy ahead of time and just focus on composition.
The second tip is don't be afraid to move around the room. Get as close as you can without disturbing others around you. Not a lot of good pictures are had by just sitting in your seat and watching the show.
Change your perspective if you can. Stand on a chair. Lay on the ground. If you are taking pictures of a dance group, try taking pictures of just their cute little feet all in a row. Don't be scared to play around.
Make one subject your focal point, take a picture of the singer and blur the band. Take a picture of the guitarist when he or she is playing their solo. Try to catch each person in their element.