Milton Keynes theatre was built in 1999 after a very long and epic campaign to get a theatre built in the great town. Despite not being Broadway or the West End, it is a classy place to stop off for some high-brow (or maybe not) entertainment.
You'll probably want to drive in, but the good thing is that it's next to the MK Shopping Centre, so there's a lot of ancillary activities going on next to the theatre, and if you want a cheaper drink or bite to eat, there's plenty to do there. It also makes parking a lot easier as you can just park in the shopping section.
Once you enter the theatre, you'll notice the lobby is quite pretty, and at the right hand side has a bunch of bars. Here you can buy drinks, but beware that you're not meant to take the drinks in with you. However, you can also arrange for drinks to be waiting for you in a seated area if you're celebrating a special occasion or just want to splash out. You will go into the production, see the first half of the show, then during the interval you will come out to find whatever you ordered - i.e. a bottle of champagne - waiting for you. It's classy and fun, particularly if someone else is paying and you have to, being the most potent drinker, quickly guzzle down everyone else's leftovers as the performance starts again!
It wouldn't be apt to go into too much depth about the performances, because the quality varies wildly, but the production quality is generally high, with lighting being diverse and the sound being sonic and loud. They also do get famous stars quite often, with Henry Winkler famously appearing recently as Peter Pan.