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 DKK70 to DKK110 ($12-$19/£7-£11) 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. In Sønderho, a fun bar is Nanas Stue (tel. 75-16-40-25), which is lively and comfy with live music and good food.
Note: This information was accurate when it was published, but can change without notice. Please be sure to confirm all rates and details directly with the companies in question before planning your trip.