Melvins in the Bristol Exchange was a good recent one, depends on your definition of big band I suppose but the capacity is 250.
Mclusky to a scant smattering of people around the time of their first record was quite common in various Cardiff shitholes, once was playing after a ska band - half the crowd left after they finished which must have been a kick in the guts. It was amazing to see them reformed (kinda) playing the Welsh Club packed to the rafters with everyone singing the words a few years ago. I did try to tell people at the time how good they were, but it was all about the Strokes and the dying embers of nu metal.
I could have seen Coldplay in the Cardiff SU, but left after the support band JJ72 as they were the only band I was interested in. I think seeing Queens of the Stone age in the same venue was a good catch as well, pretty sure it was Songs for the Deaf tour though - with Lanegan, no Dave.