Have a look around. Have a sniff. What's the prevailing mood of the place?
In general, good etiquette requires taking an accurate reading of the local social climate and adapting yourself accordingly. This is not to say that you should simply follow the herd — but rather that there's no need to become a blight on an otherwise pleasant landscape.
If, for instance, you're at an outdoor concert and various members of the audience are hacking butts (or other smokable substances) and nobody else seems to mind, let the smoke float. If cigarette (or joint) exhaust is noxious to you, slip away quietly to another, less polluted region of the audience.
On the other hand, if this is one of those kid-friendly concerts where babies snuggle in their parents' arms and toddlers roll around underfoot, save your "medicinal" intake for before or after the show. There's no need to impose your chosen fumes on the pink little lungs of our future. Who's going to take care of you in the old-age home if you've inflicted second-hand-smoke-related lung cancer on the grown-ups of tomorrow?