Of the venues profiled, I've only been to Red Rocks. I can't imagine a more picturesque setting to see a show than Red Rocks.
I'm hesitant to watch the rest of the episodes, that will only increase future travel expenses. The Caverns has been on my list for a while. If you aren't recording Bluegrass Underground on PBS, start ASAP. It's filmed at the Caverns, and is not just Bluegrass. They do have a focus on Bluegrass/Folk/Americana, but have had artists like Wyclef Jean and St. Paul and the Broken Bones.