How to do it on the cheap
Do you like a particular place, performing arts company, concert promoter or venue? "Like" them on Facebook. It's a great way to hear of special offers and discounts- especially for performing arts companies.
The following are San Francisco specific, but there are probably similar deals wherever you live, so do some sleuthing:
Speaking of previews, almost every theater company, including the Best of Broadway series, have "preview" nights which are up to half-off the regular price. See the play before anyone else and save some dough.
Free first Thursdays: almost every institution in the City participates. Make a calendar and check off the museums one at a time. It will be crowded, but what do you want for nothing?
Go at night. The DeYoung on Friday nights is a huge scene. Did you know they are also open on Thursday night? Not many folks do. Always avoid the crowds when you can. Because you're cooler than that, right?
The San Francisco Conservatory of Music has free concerts every week.