You'd have to look around for quite some time before you found another club that has the history the Milestone has. Bands such as Black Flag, Nirvana, and R.E.M. have stood upon it's well-worn stage, and it's evident from when you first walk in that this is a venue that supports the undergound music scene. The drinks are reasonable, and the sound system is fuckin' LOUD. If you haven't been to the Milestone, you're only cheating yourself out of one of the most memorable experiences you can have at a show. With a $5 - $10 ticket price for 4 or 5 bands, There's really no excuse to pass up the chance to go and see some local talent. Don't be a dick while you're there. The regular patrons don't like it, and will let you know.
Thomas Street Tavern hosts Metal Mondays, an event that invites local bands to come and play. The venue itself is small, and there's really not much room for any pits to form (unless you're really dedicated to moshing), but they're very welcoming to the bands, and treat them quite well. They serve excellent food (always a plus) and the drinks are very reasonably priced. They are also one of the few venues I've found that accept plastic, so you can run a tab. I'd certainly recommend it to anyone looking for something to do on a Monday night.
Thomas Street Tavern
Ground Zero in Spartanburg, SC is a really cool venue. It looks a bit rough on the exterior, but once inside it's easy to see why so many groups like to perform here. The stage is larger than most underground clubs, so a band has plenty of room to set up, and the open floor enables large pits to form. The bar is cash only, though they do have an ATM, and the drink prices are reasonable (happy hour 4-6).
The staff go out of the way to make sure everyone has a good time, and the bathrooms are very clean. Some big names have come through here, and it's almost guaranteed that any touring metal groups will make a stop by GZ. Just watch out for Jessie, the door girl. She doesn't take any shit. Seriously.
The Station is a small venue located in downtown Charlotte. It's very friendly to the metal community, and most bands like how it's easy to book shows with them. One (and perhaps the only) drawback is the lack of a stage. Bands play at ground level, but no one really seems to mind very much. The bar has everything you'd expect, and they accept cash or plastic, which is a big plus. A lot of local talent, as well as out-of-towners pass through, and it's a good bet that you'll catch a show on almost any night of the week.