Saying that Sea World do good shows is sort of superfluous. The parks are built around animal teasing shows; the rides and coasters are an afterthought and came much later to bring something extra to the shows.
It depends with me. I'll try and do as much as possible with my day, and often that will include a show or two. I'll tend not to plan a day around them, but if they're on while I'm in the general area, then I'll pop in. I won't bother with some crappy thing on a random stage in the middle of a park or something - those things with tarts in sequins getting people to clap along and s**t - but if there's a purpose built building for it, then I'll make more of an effort as, in theory, the show should be something quite decent.
The best two I can think of off hand are the Lion King thing at Hong Kong Disney and the Little Mermaid thing at DisneySea. The Chinese acrobat thing at Port Aventura was ok as well, mostly for the semi-naked gaysians, granted.
Parades, apart from anything at night with flashy lights, can generally **** off. AIDS on floats.