I've been working on the issue myself. My kids both march with the High School band and my son also marched drum corps this year. Night games and contests were my main motivation to move to a DSLR. Learning some of the basics that allow me to use the manual modes has been key. I've also spent a fair amount of time on this forum and other camera specific forums. From there, I also purchased a field manual for my camera, that basically offered a translation of the owners manual into usable English. Here's what I've found so far.
First, as mentioned above, there is noise filtering software out there. I use NoiseNinja, but there are plenty of other options out there. The results you can get with noise filtering software is pretty amazing, when you have to go up to higher ISO (800/1600) settings. For night shots, I usually shoot at ISO 800, sometimes ISO 1600. 1600 gets pretty noisy with my camera, but it's about the only thing I can use with my longer lens.
I've ditched my kit lens for a couple of lenses that offer one focal length through the entire focus range of the lens. My shorter lens is a Tamron F2.8 17-50mm lens. The F2.8 f-stop lets me shoot much faster at ISO 800 and I like the fact that it's wide, so I can get the full band from the side lines. My longer lens is a Minolta F4 70-200 (affectionately known as the "beer can" lens in the Sony/Minolta world, due to it's size similarity to a 12oz can of beer). I love this lens, but when I break it out for night shows, I almost have to go to ISO 1600. Either that or really make sure I'm only snapping pictures when the band stops moving. There are faster lenses out there, but they are significantly more expensive than what I've spent so far.
If you would like to check out some pictures I've taken, feel free to poke around my Smugmug site. Our Band and Drum Corps gallery is here:
http://maekchu.smugmug.com/Band & Drum Corps
Many of the Troopers pictures and the Mount Pleasant 2007-2008 pictures were taken with our Sony Alpha A-100. There are also pictures my wife and kids took with their cameras, but you can tell mine because most have the Sony name in the EXIF data.
Here are a few of my favorites:
My son, taken with my Tamron lens:
My daughter, also with the Tamron lens:
A couple taken with the Minolta lens from the top of the stadium:
If you haven't visited Smugmug, I like the site because it's easy to view the EXIF (photo data). This gives you an idea of what ISO, f-stop and shutter speed was used on the picture, which helped me reverse engineer some of my problem shots.
I kind of float between full manual mode and aperture priority at this point. I only recently started playing with the aperture priority after accidentally pushing the shutter speed too fast on a bright day, which blew out a lot of the highlights for about half the show. The cool thing about the aperture priority setting is it allows you to manually set the ISO setting, aperture is set with the quick wheel on my camera (but I don't typically play with it during a show), and the shutter speed is automatically set.
The funny thing at this point is that I'm getting shots that I completely missed last year with our point and shoot, which is awesome. But I'm also learning to be more picky about the results. It's a constant learning process, but it's also fun. I'm saving now for a big honking, bright lens, but that will take a while. For now I enjoy playing with what I've got.
Jeff
They knew they wanted new uniforms, and didn't have time and didn't want the new kids to have to pay for old uniforms only to change it again next year. 
I should have practiced more. I knew coming to this board would get me immediate answers. EVeryone here is so awesome!
