As Baileybelle mentioned you can usually get tickets the night of show, but they are usually limited view (as those are only sold at the box office once everything else is sold out) or they may be split seating. It really depends on what time of year you are coming and if there was a dark period (a vacation for the artists) the week before or after you are trying to go. If you are going in say January or February, that is generally a slow time and you can get tickets day of no problem... If you are going in July or August, it is better to get them in advance. If you are going the week before or after an extended dark period, for example there are no shows May 21-June 5... chances are you would not be able to walk up and get tickets for the week prior or the week after as those shows generally sell out.
It is always best to get tickets in advance.