This is a question that has been pondered for thousands of years. There has not been an easy answer even to this day. But I've found that my approach seems to work.
First, I have no money. And that is definitely a consideration. If money is not an issue then a limo, a fine restaurant with singing musicians, and a private box at the ballpark make for a fun evening. But considering that finances are limited, here's my approach:
First, before the date find out about the person. What are the date's likes and dislikes? Does the date have a favorite band, or type of music? What are the person's interests like hiking, travel, types of food, etc.? Perhaps the date is writing a thesis on the transformation of Doppler shifts in the solar system. Usually this information can be found through mutual friends, facebook, twitter, etc. Then you go online and learn about these things and voila! -- you have instant conversation. And -- more importantly -- the date will be thoroughly impressed with your intricate knowledge of Doppler shifts. Of course, this does take time. But there is nothing worse than a date without conversation.
Another approach is to keep the evening neutral. Go to a bland movie and sit in darkness for two hours and call it a night. Still another option is to ask the date what they would like to do. But most dates -- girls especially -- expect the evening to be planned.
Still another option is to have friends join you. The atmosphere is more casual and there's less focus on the two of you.
But I've found that knowing something about your date ahead of time not only makes for a fun evening but it could also mean another date discussing Doppler shifts.