Band heading hit entertainment venue (5,4)
I believe the answer is:
strip club
'entertainment venue' is the definition.
(type of erotic entertainment venue)
'band heading hit' is the wordplay.
'band' becomes 'strip' (both can mean a small piece of material).
'heading' means one lot of letters go next to another (some letters go in front of or head others).
'hit' becomes 'club' (club can mean to hit with a club).
'strip'+'club'='STRIP CLUB'
(Other definitions for strip club that I've seen before include "in which gear gets dropped?" , "Revealing venue" , "Place of naked entertainment" , "Joint where performers undress" , "Place of sleazy entertainment" .)