Plugin allowing for artists, events and venues

You might like to try Event Organiser (disclaimer: I’m the plug-in author). This plug-in handles event and venues management. Events are a custom post type, and venues are a custom taxonomy.

All it would lack for your needs is the ‘artist’ – this could be handled by adding a metabox to an event which allows you to select from the available artists (or vice-versa).

To do this, just create a metabox with a select box, which you can populate by querying (for artists, say) using get_posts. The selection can be then saved as post meta by hooking into the save_post action.