We recently watched Oliver there and it was great. For real 'West end' standard, you will need to visit the Wales Millenium Centre in Cardiff Bay (65 mins drive), or Bristol Hippodrome (1 hr 20 mins drive). However these both put on some great shows and having watched Miss Saigon at the Wales Millenium Centre, and Starlight Express at Bristol we can recommend these. Also try Cardiff New Theatre.
Concerts / Music / Art Galleries / other general
As well as some of the above the Millenium (Rugby) Stadium, Cardiff International Arena (CIA) as well as the St Davids Hall, Cardiff also have some great events including classical or pop concerts, plays, and conventions, etc