Visit ticket brokers. There are plenty of these online and some cities have several outlets. A legitimate ticket broker buys tickets from fans with the anticipation that someone will want them at the last second. The tickets are then resold at a higher price. The sites typically have the name of an act and details on what tickets are available, so you will be able to determine if you want to pay that price.
Check social auction sites like Craigslist. It's more of a risk since you're dealing with an individual and not a company, but an individual may be more willing to negotiate a price.
Check with the actual venue and the ticket seller site within 48 hours of the show. Many concerts are booked with a certain amount of tickets reserved for promotions or for the act to distribute. If the act or promoter decides not to use them, those tickets are then made available to the public. This is not something you can count on, but it's worth a try.
Take a chance with a scalper at the venue. This should be considered a last-ditch effort since you have to place a lot of trust in that scalper. For example, you need to have some way of knowing the ticket is not some fake copy. If you do trust scalpers, deal with them as close to show time as possible. Most will drop their prices then instead of being stuck with the unused ticket.