Cincinnati
Sometimes Hard Rock to Heavy Metal events and also some live gigs. Check their website for the schedule.
Not always Metal, but often. Great club, much better than Annie's, but that's depending on who you ask. Close to University of Cincinnati so all sorts of music plays there.
Vneue which has live music 7 nights a week, so its also a good place to catch a Metal show from time to time. Check their website for the events calendar.