I have been to a few tapings of the Daily Show and the Colbert Report and every time both studios have been absolutely freezing. I don't know what it's like at the show you're going to, obviously, but I don't think I'd go with a dress. I mean it was so cold that I didn't even bother taking off my trench. I think I would probably go with jeans or lightweight pants, a sleeveless top, and a lightweight cardi in case it's chilly. Some perfed ballet flats would be good if you have a pair. They'll have enough ventilation to keep you cool outside, but enough coverage to keep you comfortable inside.