Penghao Theatre just off Nanluoguxiang (on 35 Dongmianhua Hutong) is great for catching avant-garde/experimental/underground performances. The venue itself is pretty small and intimate, with a snug cafe in the front room. In terms of events there, you can catch anything from a theatre performance, improv or dance show, to lectures and film screenings. http://www.penghaoren.com/cn/index.asp

Another one to check out is Fengchao Theatre by Dongzhimen, though this venue targets a more Chinese audience and hence offers mainly Chinese-only performances. The avant-garde playwright Meng Jinghui stages many of his performances there.

Nine Theatre (Chaoyang District Culture Center, 17 Jintai Xili, Xiaozhuang) is another venue that occasionally puts on an interesting show. Last year they staged performances from the Edinburgh theatre festival.

And finally, don't forget about Black Cube on 46 Fanjia Hutong. This venue is known for staging modern dance and experimental theatre.

There is one theatre close to WangfuJing it's supposed to be one of the more popular theatres in Beijing. They have all types of performances there. The location is across the street from WangfuJing Food Street. I've never been but I've seen the outside of it and I've heard a lot about it!