Today, in the evening, I will play a concert consisting of only The Beatles covers. More than 300 students will play, and I got the honor of being lead guitar for a few songs. Now, how do you have to act when you play a concert?
First of all, have fun. If you don't have fun, your music won't have feeling at all, so enjoy. If you want to dance, dance, as long as you don't interrupt your part. Move around the stage (Unless you're a backup singer, just dance. Same goes to the drummers), and simply, enjoy.
Do not try anything stupid. There was this concert where I tried to play a guitar solo with my hands the other way around. What happened? I screwed it up. So, do not try anything stupid if you haven't practiced it. I've seen guys try to jump off the stage, do something syncronized, etc. Don't.
Know your audience, and interact with them. If you're playing for a bunch of parents, then don't do dirty dance moves and signals. If you're playing for a bunch of teenagers, then feel free. If you're playing for the elderly, then I feel sorry for you. In my case, we're playing for a bunch of parents and uncles and stuff, so I'd suggest to go crazy, but not too much.
So, in the end, it's all about having fun and doing your part. If an emergency rises up, for example, a guitar string breaks, play it casually, as if nothing happened. There's a reason you have a backup guitar player. My drummer, for example, has a few spare drum sticks lying around just in case. Singers, if you screw up, then just keep singing. If the rhythm is lost, then somebody, for the love of God, start it again. The key is not to panic.
Well, that's kind of it. Not much to it. Of course, pyrotechnics and all, steer clear of them. You don't want to end up like James Hetfield (Metallica's lead singer, burned his whole arm), so be careful. Just have fun with it and you'll get through.