Nice idea for a topic, elliot.
My answer is threefold.
Blue Cats in Knoxville was definitely the place where the Features *sounded* the best, of all of the places I've seen them. The sound in that room was incredible. It was loud as fuck, the way a rock show should be, and the mix was splendid. If the Features play the Exit/In in the future, it would likely replace Blue Cat's in this category.
The Boro, though it is the polar opposite in terms of sonic capability, has more charm and charisma than any other place the Features play. Notice that I am making this comment for when the Features play there, not just anyone. When the Features play there, it seems to be just a hair more formal than band practice, and that's a fun way to see your favorite band. They are willing to play anything there (where else are you going to hear Attention or Jurley or even Hey Lou these days?) and the crowd relishes, even demands that the band take these chances, and thoroughly appreciates it.
But I would have to agree with Keith in saying that my *absolute* favorite place to see the Features is The End in Nashville. The place is a shithole for sure, but the sound is usually great, and the place is just so rock'n'roll. Too many great Features shows have happened there to deny its greatness. Oh, and it also gets bonus points for being by far the closest venue to my apartment.
Relevant: Prince, PT Anderson, Punk, Post-Punk, Purple, Party of Five, Peter Swanson, Peter Gabriel-led Genesis, "Peter Panic", Paul's Boutique, Potential Energy, Every Features MB member but me.