Welu, I can definitely give advice on shooting live music! A lot of it depends on what equipment you have available of course, and also some details about the venue. Best option as mentioned is a feed from the sound board plus an ambient room mic. If I only had one to choose from (and this is my usual situation), I'd go with ambient over board, because then you're hearing what the audience is hearing.
Board only, particularly in small venues, has the drawback that the mix is tailored to simply add what's needed over the load on-stage audio. So drums and amps only get a small boost, while vocals and acoustic guitars are cranked to max.
Here's a really good example of that from a professional production crew that should have known better. The electric guitar is barely noticeable, and the drums don't seem to get into the mix until almost the middle of the song.
My clip above is an example of both, plus the sound engineer giving us a separate mix to avoid the above problem, so the best overall situation, but even with an unbalanced board mix, the room mic will bring enough of the other stuff into it where it feels more natural.
However, most of the time, I'm just shooting a gig with my camcorder with a directional mic mounted to the top that's pointed at the stage/PA from about a third or halfway back in the room. Onboard camera mics are nearly useless because they're typically omnidirectional so get far too much ambient noise like talking or bar clatter, and massive amounts of room reverb that makes everything muddy.
To me, the raw sound from my own setup is still inadequate, but I do a couple of things in post processing that helps. First, I add a bit of compression to the audio, currently a 2.5:1 ratio just to "tighten up" the overall sound. Then I add 2 parametric EQ notches. The first at around 300 Hz and -4dB to lessen the impact of room resonance, and then a second at around 3000 Hz and +3dB that enhances the vocal range and gives a little shine and punch to things like acoustic guitars and cymbals.
Here's an example from the same club using those techniques.
If you want to go into all of this in more detail, feel free to PM me, or we can make a thread in MAKE or MUSIC so that other people can add their ideas and we'll have a nice guide for anybody else interested in shooting live music.