This one should be obvious, but show after show I see bands failing to collect contact information for audience members who liked them. Admittedly, without someone telling the band of the importance of this action, they may fail to see the point. But that's why I'm here: to tell explain why it is important.
You should be collecting contact information for those who enjoyed your music at your shows because it's far too easy for someone to forget who you were after the show. Maybe they were drunk or there were several bands and they won’t remember your name the next day, so they let you slip into obscurity and never pay attention when they hear your name. You've just lost someone that you could've become a part of your core fan base!
It works like this. If you collect so much as an email address, then you'll be able to reach out to that person via email and inform them of what you're doing next, and when new music will be out. You'll be able to give them a direct link to where your music is for sale and to your online content. You'll be able to direct them to your Twitter, Facebook, and Youtube profiles as well as your web site. In other words, you'll be able to reach out to them after the event to ensure that you don't slip off into obscurity in their mind’s eye.
It's easy to do. Just take a notebook to your shows and after the show go around to each person in the crowd to ask them for their email address! You could offer an incentive to get them to sign up, such as offering to email them free mp3's of your music. I once held a Facebook contest designed to collect email addresses. The contest involved offering anyone who signed up for my email list a chance to win free admission for two to one of my shows, as well as a $10 Wendy's gift card (people love free stuff). This got some new contacts on my email list, and I was able to get the winner added to the guest list of the show. The $10 Wendy's gift card I had lying around unused, so I re-gifted it to the contest winner! Essentially, getting the contacts didn't cost me anything, and it guaranteed two people came to my show that wouldn't have otherwise.
I haven't played a show since then, but I'm working on an EP. I plan to reach out to the email list after some of my recording sessions later this month to spur some interaction. Maybe I'll offer a contest to allow them to pick the name of the EP or something else cool. But the point is that I'll be reaching out to them to spur interactions with me.
That said, DO NOT SPAM THEM. Only reach out when there is something to actually say.
Now you may be asking why you can't just reach out to them on Facebook? You can, but the thing about Facebook is that if you post something to your Facebook wall, not everyone who can see that feed will see that post. What if they don't get online for two days, and your post is now so far back on their timeline that they never see it? You're taking a gamble that they'll see it and interact with you as a result. You shouldn't ignore Facebook, as I do believe it to be a very valuable tool, but your primary mode of contacting your fans with news should be through direct contact via an email list.