I would enter something like "St. Patrick's Day at O'Leary's" as the event name if I wanted to highlight a specific kind of event and also show the venue. But I went ahead and added a "venue" field to the JSON feed that is the name of the first contact attached the event (the same contact that the address comes from).
Now you'll probably want to handle situations where the event name and the venue name are the same -- maybe add logic to skip one, or replace the event name with a generic name like "Live Show," in those cases.
BTW, you could add a public custom field called "Public Name" and populate that with whatever you want to show in the feed per event, then display that instead of the "name" or "venue" fields. That would allow more streamlined names inside your account, in band member notifications, etc. Otherwise, it wouldn't have any benefit over just stuffing more info into the event name.