Concert Venues in Key West, FL Key West Theater Where: 512 Eaton St. , Key West, Florida - 33040 Events: 22 Comedy Key West Where: 218 Whitehead St, Key West, Florida - 33040 Events: 12 Sunset Green Event Lawn Where: 3820 N Roosevelt Blvd, Key West, Florida - 33040 Events: 2 Coffee Butler Amphitheater Where: 21 Quay Rd, Key West, Florida - 33040 Events: 1