Most of the doors in this part of the theater start out locked. You'll be able to unlock them after picking up the theater key in the auditorium battle (#2).
1 - Loose Brick
If you press the brick, you'll open a secret room in the theater basement (Theater Basement, #5). This brick is broken in the Collector's Edition.
2 - Auditorium Battle
Here you'll face several goblins, including a pair of goblin mages and a ballista goblin, plus a war troll. This seems like a tough battle, but there are a couple of tricks. First off, none of the enemies will chase you up the stairs (at Exit C), and only rarely will one even go through the doorway to the stairs. That means you have a safe spot where you can regroup and save, and so it's easy enough to use hit-and-run tactics to defeat the goblins. Just start at the stairs, run into the auditorium to do a little damage, and then run back to the stairs to heal.
Once you've killed the mages, be sure to loot the items they drop. One should drop the theater key, which will allow you to open up all of the locked doors in the theater. Then, with the mages out of the way, climb up onto the stage (#3) and kill the ballista goblin there. (To get onto the stage, first face it and then press the SPACEBAR to jump.) The regular goblins and the war troll won't be able to follow you there, and so you can just sit there at your leisure and pick them off with ranged attacks. The troll will take a while, but you should get over 20,000 experience for killing it.
3 - Stage
You can jump onto the stage from the auditorium.
4 - Front Door
For some reason the front door won't open, even after you've picked up the theater key (from #2). You'll have to use the exit on the balcony level (Exit D) to leave the theater.