Fuckin awesome. In Chicago they had three huge projector screens above the orchestra that played cuts from the in-game scenes, and would occasionally pan around with views of the orchestra. The music is top-notch; Uematsu is a genius. The atmosphere is cool as hell, because its like going to a formal orchestral outing but you're surrounded by FF fans. One moment you're listening to Terra's theme and reminiscing, the next they're announcing One-Winged Angel and you're standin on your chair cheering. Several people busted out lighters (and some, in a nu-age fashion, cell phones <_>)
I dressed up formal, as did my girlfriend... Most did. There were also a bunch of people wearing jeans and T-shirts... Kinda sad. Then there were the cosplayers who were (haphazardly) dressed up as FF characters... I highly highly recommend going (if you can get tickets.) For chicago they sold out in three days I believe.