My favorite one is gone. It was a little club in San Diego called the Bacchanal. Saw a ton of bands there. Nice and intimate and most of the bands I saw came and partied with the fans after the show. Danger Danger and Dillinger put on a great show. We saw the last show of the tour and D2 kept playing practical jokes, so to close their set before D2 came in Dillinger started playing one of Danger Danger's songs. it was a fun night.
I would have to say now it's Humphrey's By the bay. They don't have a lot of rock shows but I've seen Satriani a few times, Steve vai, Eric Johnson and a few others.
Favorite rock venue is in my backyard pretty much. Just a few miles away, it's changed it's name so many times, I don't know what it's called now. I just call it the chula vista amphitheater.