Unfortunately I have never been to a professional stage musical! How sad...
We live very far away from the nearest large city that would host such a show. And it seems when I do go on vacation to a large city, it is not theatre season. I do know someone who flies to Vancouver for a weekend, catches a production and returns, but that is an expensive weekend, and I can't justify the cost!
I have helped backstage, and have watched many local musicals; my first being Jesus Christ Superstar. We have quite a good group locally. Seeing it all come together with the band, the singers and actors, costumes etc is really rewarding.
My first real theatre viewing was a ballet when I was in school. I was enthralled. The live orchestra, the magical set, and of course the beauty of the dancers. I didn't understand all of it then, but I believe it was Swan Lake.
How lucky some of you are that have it readily available! Of course it is expensive, but a worthwhile luxury.