One of the greatest first dates I ever went on was a place called the giggle dam theatre, http://www.giggledam.com/shows/show-season.
I'm sure there are places like this in a lot of cities, definitely worth the experience. They get the crowd involved and it's a great was to break the tension of a first date. It was a bit of a rough start, lots of silence between the 2 of us but by the end we were laughing our asses off and talking like we had known each other for years.
It didn't work out in the long run, but we're still friends and it still gets brought up from time to time about how much fun and different it was.