With out know ing exactly what the band in questions set up is, I can offer just my thoughts on photography and entertainment lighting. I am assuming that you want a clear subject but blurry vibrant surroundings. I think that this Effect is largely due to effective concert lighting, which utilizes many lighting instruments combined with the use of a hazer(smoke rises, fog sinks, and haze just sits in the air and defuses.
Basically If yo shoot with a wide open aperture, the bokeh created with the lighting is a defused and bright mass around your subject. Alternately a larger DOF will allow the lighting to be captured more accurately.
What looks great on a stage surrounded by a dark house is quite tricky to photograph well, but is well worth the effort.
I'm not sure that is exactly what you are looking for but post some more details about the concert and your equipment and we'll try to help out more.