Shanghai Reds is downtown Palm Springs behind Las Casuelas. Outdoors and mostly has a house band that plays Jazzy Blues. Shanghai has good menu options. No cover charge. Bands start at 8pm Thur-Sun. It is worth it to stop by and stand in to listen to a couple songs. No need to sit but there are tables and chairs and also 2 bars.
Fantasy Springs Casino is in Indio, a short 30 minute drive from downtown Palm Springs. They have the largest music venue in the desert where you can catch mainstream concerts and occasionally boxing matches by Golden Boy Promotions. Outside there is a really nice area where they usually have quality cover bands playing on Friday and Saturday nights in season for free. There is also a restaurant right there and of course the casino inside. A bowling alley is on site as well.
Spotlight Casino is in Indio right off the 10 freeway. Not a bad seat in the house. Stand up comedy and concerts year round. Inside the casino are restaurants and a club with a dance floor. This is directly across the freeway from Fantasy Springs Casino, you can do both in one night. I prefer Fantasy Springs myself.
Agua Caliente Casino Resort and Spa is about 10 minutes from downtown Palm Springs. This music venue is the nicest of them all in the Palm Springs area.
Morongo Casino is about 20 minutes from downtown Palm Springs. Many people like this place. Not my top choice but the venue is small, capacity less than 2000 persons) so you are able to get closer to the entertainers.