Of course, while one is in Bayreuth, one should visit the Margravial Opera House. This is a Baroque opera house that was built between 1745 and 1750. It is a rare find: it is one of the few surviving theatres from that period. It is restored, and since 2012 is listed as a UNESCO World Heritage Site.
If you're in Bayreuth, then I would definitely recommend you to check out this place. It's fabulous.