we normally say at theater , but if i am siiting inside the theater then what shoul i say i am in a/the theater or i am at a/the theather (other person doesnt knws which theater i am at so it will be a theater or the theater)
at the theatre/shop/market/train station - this is what we usually say when talking generally; the exact location isn't important: we could be inside or queuing up outside
in the theatre/shop/market/train station - read this as 'inside ...' - we are stating our location. Generally, as long as we're there, whether we are inside or outside doesn't matter and I think that's why we tend to say 'at' more often.
Although 'at' is more common, sometimes we use the 2 almost interchangeably, with a very slight difference in meaning:
(on mobile phone) "Where are you now?"
"I'm at/in the train station."