The palace is an old-timey theater that was renovated and now is a venue for live music acts and Broadway musicals. They also do film festivals, like the one they do every summer that shows classic films. There isn't a bad seat in the house. It is a beautiful venue with very extravegant architecture and decoration inside. Worth seeing a show there just for the ambiance.
Pros: Beautiful old theater, wide variety of shows
Cons: Tickets can be expensive for big name acts