I personally hate playing in the clothes i turned up in, at least in the same shirt. For me, changing kind of gets me into that professional zone before we start playing.
Most of the venues we play don't have any changing facilities, in the past when i worked in a band with a female vocalist if we asked nicely usually the landlord would allow her to get changed in the "pub accommodation", the lads really didn't mind changing in the toilets if push came to shove.
I do think though that a lot of venues overlook the fact that bands need somewhere to change and/or (no gender discrimination intended) put on their make up.