I think one of the more unlikely gay shows was when I brought a bunch of my bear friends to the Grandaddy/Saves the Day show. I think there were about 10 of us, salivating over various members of Grandaddy. It was hilarious. Yeah, yeah I know how ridiculous that sounds and you can make fun of me all you want. But to quote Otto from the Simpsons "I've got some pretty funky friends".
At any given show us homos are there...there are the obvious shows (the B-52's, Erasure, Soft Cell, Saint Etienne, and Sleater Kinney are all good examples), less obvious (Interpol, The Pixies, Sonic Youth) but then the ones that you probably wouldn't expect at all (Ministry, Social Distortion, Queens of the Stone Age).
It's always been frustrating because generally speaking, a lot of my gay friends have really crap taste in music. Show tunes, Cher, Celine Dion, you name it. Fortunately for the bear scene, a lot of guys are into more varied stuff, probably because they don't like to be stereotyped. Thank God for the friends of mine who love the Magnetic Fields and PJ Harvey. But there are so many bands that are gay-friendly and are popular in small gay circles. There are so many bands that have had gay members, like Husker Du, the Buzzcocks, the B-52's, the Germs, Sleater-Kinney, Kitchens of Distinction, Placebo, REM, My Life With the Thrill Kill Kult, KMFDM, etc. and then you have bands like Belle and Sebastian and Franz Ferdinand who might as well be gay. Rock'n'roll is gayer than a lot of people think.