My favourite band is embarking upon a world tour and Budapest is one of the stops in Europe. I googled the venue and it appears to be quite small, and I love the cramped, intimate live experience, so I decided to go there. I'll be flying in from London Heathrow and I'd like to know the best way to get around, if the venue is close to the airport, if I will have to get a cab. Anyone been to Hungary who'd be willing to help? Or any Hungarians, for that matter?

Additionally, I'll be going to Milan from Budapest, then from Milan to Paris to see them too and was wondering if it would be easier/cheaper to take the train or plane to navigate between these places? Any help would be appreciated.