The Royal Albert Hall (or Albert Hall) was a venue for the performing arts located in London.
Circa 1990, the Seventh Doctor invited Sarah Jane Smith to a jazz concert at Albert Hall, but they were instead abducted by the Kalik. After defeating them, the Doctor accidentally transmatted the train to the street outside the Hall instead of to the train station, as he didn't realise until it was too late that there wasn't a Royal Albert Hall station. (COMIC: Train-Flight)
On 27 July 2008, during the Proms, a space portal opened between the Doctor's TARDIS and a point above Albert Hall's orchestra pit. Through that hole, the Tenth Doctor passed sheet music for his new composition, "Ode to the Universe", to the orchestra. He then asked the orchestra to play the song, and for Ben Foster to step down in favour of the Doctor's conduct of the orchestra himself using his sonic screwdriver. A Graske snuck through the portal, armed with the Doctor's water pistol with which he threatened Foster, the orchestra, and the audience. He was pulled back from Albert Hall, into the TARDIS, when the Doctor reversed the polarity of the neutron flow. The audience were told by the Doctor to listen to the music inside of them. (TV: Music of the Spheres)