It constantly happens- I'll come up to a musician after their show and tell them I loved their music. They immediately launch off into all of the things they screwed up during the show, how they sucked tonight, and are so much better when they rehearse at home.
Even if you don't make the obvious blunder of telling a fan that you sucked, there’s a lot to gain from seeing your set from the audience’s eyes. Here’s 4 things people think about when they come to see you:
Do they care that I’m here?
If you appear to not be happy that a fan paid money, got in a car and drove to see you, then it doesn’t matter how good you are- your fan is going to feel unappreciated. Make sure to notice them, maybe even post a Facebook comment about them after the show, and connect with them directly after your set.
Are they playing what I want to hear?
Audiences pay to see you do what they’ve fallen in love with you for, which often is a specific song on your album. If you have a hit song, play it. If they liked a certain tune last show, play it at this show. Take requests of your music. Don’t let your own prejudices force your setlist in a way that the audience doesn’t like.
Are they too loud?
I think more fans don’t come to shows because they know that sound levels are going to be crazy-loud all night. Keep it loud during the set, but not eardrum-blowing level.
Are they playing when they said they were going to play?
You may not be able to control this, but I’ve been to dozens of shows where the band goes on 2-3 hours later than they said. Your average fan will not be that patient- make sure that you’re onstage when you say you’re going to be, or you may not have your fans come out to the next show.