Just come across some dance clubs on page 65 of the latest 'Marhaba' magazine, which you'll find in hotels, supermarkets and probably the Duty Free Shop at Arrivals. Ballet, modern, jazz, country, latin, Indian Classical Line and Scottish are all mentioned.
Also, Hannibal, be assured that there are rock and jazz bands here, and commercial as well as unpaid opportunities to perform. check out http://www.qatarmusic.co.nr/ and join the Doha Players on arrival.