I've never been to see a musical, I'm not sure it'd be my kind of thing. I've got this cynically clichéd picture in my head of camp show tunes and dudes with perpetually cheesy grins giving it jazz hands and shit.
I quite fancy The Book of Mormon though, that's meant to be excellent.
I'm very wary of musicals for similar reasons, I find it often treads too close to that patomime false-joy thing that has too many hardcore fans who've seen the same production 12 times.
That said I really enjoyed The Producers (the one with Spring Time for Hitler if you haven't heard of it.) It's very intentially OTT but also has some great dialogue between the songs.
I often find regular theater more difficult though, since often they aren't even visually or musically engrossing. I used to do drama at school and got taken to some incredibly dull plays. One I remember was by a guy called Harold Pinter who's supposed to be very famous and well respected in theatre circles. It was just two guys on stage, one a tramp, one a businessman, talking for two hours. I fell asleep in that one.
There was another one called The Glass Menagerie which was so excruciatingly tedious I just got bored and had a wank, right there in the theatre with like 800 people in the room. Got away with it too.
Which brings me back to my main point, which was: some musicals are good if you can get past the happy clappy stuff and pretend the others in the audience don't exist.