Amazed noone's mentioned the legendary King Tut's, where Oasis were first discovered?
That's quite an intimate venue, if you're looking for something bigger, try the ABC, the Arches, Glasgow Carling, the Barrowlands, or the SECC / Clyde Auditorium.
Other intimate venues in the area include Stereo, Mono, Capitol, Oran Mor, Barfly, Liquid Room, The Sub Club, the CCA... there are loads, the list is almost endless.
(AND, I don't know whether you're a student or not, but check out Glasgow Union, the QMU, and Strathclyde Union, because they sometimes can have some really good gigs on too.)
Most of the tickets for these things go on sale through Ticket Scotland anyway, so have a look for a band you fancy and chances are the venue will be one of these!