Projection Screen
You need something to project your laser images onto!
While not really a part of the projection system, the projection surface or screen needs some consideration too... there are a number of things to consider when deciding where to project your lasers. This will require some thought and research depending on what your goal is for your 'show'.

For me it was just to have fun on my part and to provide some interesting and unique entertainment to my friends and family. My 'venue' was just my deck years ago when I last did an actual (hobby) laser show. With nothing to project the beams onto, I had to come up with something that would reflect the light back to the eyes of my viewers... a screen of some sort. Having experienced several laser shows inside the domed projection screens of planetariums, looking up from comfortable padded seats, I thought it natural to duplicate this experience as best as I could above my deck. So, for my first show (our new year's eve party), I used some poles and suspended a gray tarp about 15 feet above the deck and did my best to tighten it enough to remove most of the wrinkles and get it as flat as I could. So the screen was in place and I set up the equipment and chairs and performed my very first laser show! It wasn't a dome, but worked well enough. Of course it was cold (even though we're on the California west coast) so we all had our thickest coat on for the half-hour or so the show lasted.
For my second show (another new years eve party) I decided to build a nicer screen to project upon. I bought a roll of light colored shade cloth - the stuff you see over the more sun-sensative plants at the local nursery or big-box hardware store, or maybe over your patio to provide some partial shade. I cut three sections out of the roll and had a local upholsterer sew them together to construct a 12 foot wide by 20 foot screen. I also had the edges folded and sown for added strength around the periphery and added evenly spaced metal 'eye' holes, like the ones you see on tarps. I then built a frame out of 1/2" EMT conduit to stretch the shade cloth out to a tight flat surface. This also had the advantage that wind would blow through it instead of it sailing off in a strong gust of wind. The hardest thing was actually constructing it (it was HUGE), making it strong enough not to sag in the middle, and then getting it from my back yard up onto the deck and then suspended 15 feet ABOVE the deck on top of that! I enlisted the help of 4 or 5 friends and family to complete this task, and we finally had a really nice screen for that year's show. After that experience I decided never to try erecting that screen above the audience again. I'll just set it up like a movie screen in front of the audience.

One is tempted to try projecting a 'show' on the clouds, but these days that's not really advisable since it has become very much against the law to let the beams go where airplanes might just by chance be impacted by the beam and a pilot temporarily blinded... very dangerous and likely to get you prosecuted. So that's out as a projection surface...

Let's look at a few feasable possibilities for projection surfaces to show your friends a good time with the lasers and some music.
As long as your show is just for a small group of friends you can actually do a show inside your home and project on a wall or ceiling. If you have a vaulted ceiling, so much the better as it's higher. You also don't have to take weather into consideration doing things this way. You will absolutely need to keep safety in mind though since the beams can easily impinge upon someone's eyes if they get up and inadvertently walk in front of the laser projector while it's doing its thing. Make sure everyone understands the danger of the beam meeting up with an eye and DON"T LET THAT HAPPEN! Other than that, have fun with your lasers and friends.

Notice I'm not mentioning anything like club houses or other public venues... taking your hobby show public, irrespective of what screen you use, exposes you to all sorts of legal and monetary complications and dangers so it's really best not to go that route unless you've totally researched what it takes to go public with your laser equipment. It's a whole other level of legalities, permits, certifications, and the list goes on. Not to say you can't go that route and maybe even make a few bucks, but that's a huge jump from just the hobby level.

Also note that I have not mentioned the laser's power level... This is a very important consideration in all cases. It doesn't have much to do with this page's intended subject (screens / projection surfaces) but for the hobby side of all this remember to keep your beam power below 5mW for greater safety of all those eyes. For a commercial show there are ways to use much higher beam powers but only within the constraints of applicable laws in keeping with your permits and such... again, a whole other level of liability. Not to say you couldn't be taken before the judge because of an accident inside your home with your hobby setup... that's a possible danger also, so consider that. SEE THE LASER SAFETY PAGE.

So enough of that... below are some photos of my shade cloth screen as it was built and used for my second NYE laser show.
Screen unassembled
Screen, assembled. Stiffening wire shown. Note that it's only supported on the 4 corners and still flat.
The whole yard-to-deck sequence is missing, but here is the screen already hoisted up and on poles, suspended above the deck, along with my helpers. Here you can see the 1/8" bungee cords stretched from the screen eyes to the frame. This really worked well to keep the screen tight. Also note the many ropes tying everything down to keep it in place.
Her's a good view showing the installed laser screen suspended above the deck. The far end is where I set up my equipment table from which the laser show was projected upon the screen. I used the glass table seen in the foreground. It was completely filled with equipment! Two Amiga computers, an analog signal generator, an argon laser, several solid state lasers (red and green), two galvo projector scanners, and a cheapie voice-coil scanner for the signal generator outputs.
This shows the method I used to support the poles that sat on the roof. It's just a board with carpet stapled on the bottom and another small board atop that with a hole in the middle to capture the bottom of the pole. It worked quite well, didn't slide at all.
All this was quite a bit of work, but I had a LOT more energy back then! It was all very rewarding at the time. For that particular show I had slightly better galvos (the SVS Kits ones shown on the Equipment page) and actually had more than just squiggly patterns... some real "graphics".
I've kept the screen and frame since that use in anticipation of doing another laser show with it but, as mentioned above, I will just set it up as more of a front (mostly verticle) projection screen for the next use.