The venue should be able to inform you as to your purchase options. Your first choice should always be to try to purchase tickets directly from the venue. This will often save you big bucks in extra fees charged by ticket outlets. Many venues will take credit cards over the phone and send tickets in the mail, or hold them at the venue box-office. Other venues may sell tickets to the public in person through a box office.
Some venues have distribution points such as record stores and other retail outlets.
If the venue does not sell tickets directly, you may have to purchase tickets through a ticket distribution company, such as Ticketmaster, Ticketweb, or Bass. Purchasing from distribution companies is usually best done in person at a ticket counter. If you must buy tickets remotely, try buying by phone first. Go to the venue early on the date of the show. There is an excellent chance that friendly fellow fans will have extra tickets they will sell for face value, or even give away.