I feel like the environment of a Jazz club would be more comfortable for me, it’s chill, there are people talking, singing, dancing and watching the performance. If I walk out, it wouldn’t even be noticed. You definitely don’t want to look like a bum at a jazz club but dress well or casual. The audience is usually drinking, chatting, dancing and watching the performance so I would definitely feel okay in that environment. The only difference is that the people around d you aren’t totally focused on the performance so that leaves you open for chats and conversation.
The least comfortable for me would probably the Chamber orchestra concert because I feel like if I got up and left it would come off as disrespectful and disruptive. Usually, in a concert hall, you come in before the performance, grab a program, and take your seat. There’s no eating in a concert hall, you can’t record the show (or at least it isn’t respectful to), if you talk, cough or sneeze you will get looks. The performers have their set program list, dressed in the usual concert black and correct posture. I’ve been to several shows at Carnegie hall and I always feel like I’m walking on eggshells from when I’m choosing what outfit to wear up to the point I take my first step into the train station.