The Dom Pedro V Theatre was built in 1860, and is also known as the Macau Theatre.
I haven't been inside, but it makes for a nice photo op, and a scenic walk by. It is a short walk from Largo do Senado, take Rua do Dr. Soares, to Calcada do Tronco Velho, and it is across from St. Augustine Church, and next to St. Augustine's Square. It is a short walk from the St. Lawrence Church too.
Their website is http://www.wh.mo/theatre/en