"Watch Torgue's Show" is an objective in the quest The Hunger Pangs in The Horrible Hunger of the Ravenous Wattle Gobbler DLC
Go through the door that your ticket admitted you to. You will see the Vending Machines in front of you. Stock up because it's going to be a good run before you find more. Head over to the left to get into the Studio of AWESOME!!!. You can either watch the whole show from anywhere in the studio or head on up to the stage and just watch the fellow explode.