A fancy word for "place where someone is performing". It can be anything from a Starbucks to a nightclub to a rented community center, whatever. The performer can be a band, a comedian, a middle school theater club, or anything else that involves performing. If somebody is performing somewhere, that somewhere is the venue.
Jake - "Hey, I heard Brad's band is playing at Red Column House tomorrow night"
Lake - "Yeah? That's a good venue. Sure beats the armpit they were in last week"
In street racing terms, it's typically the actual place where street races happen on a frequent basis. Sometimes, depending on the locale, it may refer to a meeting place for street racing enthusiasts rather than an actual street racing area.
The Collard (fictional) road venue is wrapped up with cops tonight.