Actually, only a few times when I know the musicians personally. Everyone I know (or have met) just doesn't get the "taper thing". It feels kind of awkward to ask bands and venues. Maybe I should man up and just do it.
It's a bit of a pain in the ass, to be honest, but I think it is worth the effort. Start by contacting the artist (preferably) or their management well in advance of the show. If you don't get a reply in a week or two, re-send your mail with a "sorry to bother you again, but perhaps you didn't see my earlier mail (attached below)" note. Once you receive a green light from the artist, contact the venue. They are usually pretty accommodating when they see you have permission from the artist in writing. I have had better luck with the production or programming people at the venues than with the general information e-mail. Definitely try to avoid the marketing guys!
When it goes smoothly, it takes two or three e-mails to get it sorted. Sometimes, though, it takes dozens. A major advantage of doing this is that you establish relationships with both artists and venues, making subsequent attempts much easier. There are even some perks on occasion, like being allowed onto a closed balcony to set up or a guest list spot.