Going to a concert or musical performance of some kind is generally a pleasant evening out but there are some things you should consider before participating.
First of all you DO want to arrive on time. If you are late don't expect to be let in once the music has started - you will generally have to wait until there is a break in the music between movements or acts. Take time to use the facilities after you arrive before the event starts, and if necessary go again at the interval.
Dress should be smart though in most cases black tie is not necessary - you can prepare as you would for going out to dinner in a smart restaurant. There are some venues where more is required (such as the Vienna opera house) but in most cases ladies can wear evening dress and gentlemen a smart suit. You should not take your mobile phone into a concert hall and if you do at least switch it off during the performance. Cameras are also usually forbidden and if you do see someone taking photographs it may well be the official photographer for the event. Nowadays it's increasingly common to see people with digital cameras taking photographs from the audience, but remember if you choose to do this that the usher could ask you to leave.
Be careful when considering taking small children to a classical music event of any kind. Babies and toddlers really are not capable of coping with the event and you will be much better to arrange for a baby sitter. Some children between the age of 5 and 10 may be fine during a ballet such as La Fille Mal Gardee, Beatrix Potter or The Nutcracker but take them to a performance of Beethoven's 9th symphony and they may well fidget throughout. This is not obviously going to be true of all children as some who are gifted musically will be able to cope with almost anything from an early age. Older children can go out to evening events and certainly all children should be exposed to music and taught how to sit and listen as early as possible.
Now for a little more controversy. I have been to many concerts which have been absolutely ruined by what can euphemistically be called audience participation. It's quite amazing how many people suddenly develop bad coughs once the music starts and someone sitting moving about in their chair causing it to creak constantly can also be very distracting. Deal with coughs by taking a handkerchief against which the cough can be muffled with you and take cough sweets with you which are NOT in their wrappers. These can be kept in the handkerchief until required. There's nothing worse than hearing someone crackling sweet papers in the background or coughing loudly every few minutes and it's quite remarkable how far sounds can travel in an audorium. Also try to avoid moving fingers, feet, your head etc in time to the music as again this can be very distracting. The last of all is people who insist on sitting with their heads on one anothers' shoulders so that the people behind them can't see. All this may sound rather tiresome but it really is a matter of considering others who have also after all paid for their tickets and want to enjoy the music just as much as you do.
That said an evening out listening to beautiful music is very enjoyable and you should certainly take every opportunity you can to do this!