At sold out performances there is usually a queue for returns. These are tickets which people have bought previously but are unable to use, and ask the Box Office to resell on their behalf. The queue usually starts about 1-2 hours before the performance (although for Phantom Of The Opera itís 3-4 hours). Tickets must be paid for in cash and may be restricted to one per person. Check with the Box Office for their policy.
If you want to go to a first night, it is often possible to buy tickets a day or two beforehand, once the producer has allocated his requirements, or returns just before the show starts. Remember that first nights usually begin at 7.00pm.