Luckily I am spoiled for small clubs here (some with capacities of under 100), and I find the experience at these sorts of places much better. People are generally there to listen to the music, not to get rowdy. It takes an insanely good performer (e.g. Weird Al) to get me into a large venue/arena, and even then I'll try to opt for the lawn or nosebleed seats.

For volume, musician's earplugs are a game-changer. A good set will only set you back about $10. They reduce the decibel level without distorting the overall sound (a la foam earplugs).