Your best bet is any event sponsored by the Fanø Jazzklub, Bavnebjergtoft 7 (tel. 75-16-28-52), at Fanø. The club has various events in summer, and the tourist office keeps a schedule. Tickets cost 80DKK ($14/£7.20) and can be purchased at the door.
Don't expect glitter or glamour on Fanø, as virtually everyone who lives here seems to believe in honest industry and an early-to-bed kind of entertainment agenda. For an after-dark diversion in Nørdby, head for the previously recommended Fanø Krogaard, Langelinie 11 (tel. 75-16-20-52), which has a cozy bar and a cold-weather fireplace to keep you warm when the North Sea winds blow in. In Sønderho, a fun bar is Nanas Stue (tel. 75-16-40-25), which is lively and comfy with live music and good food.
