I wore casual clothing and be sure to bring a sweater because it is cool in the theater. If you sit in the balcony, wear comfortable shoes, maybe a low heel, because if you come down the stairs, there are limited railings to hold on to..
Validated parking is across the street, but the entrance for cars is the next street over (on Orange St). Get your ticket stamped inside of the Alex Theater lobby. $1 for 4 hours. Plenty of great eateries in the area.