Macbeth The Scottish Play
Much of the superstition of Macbeth the Scottish Play originates from witchcraft which is featured prominently in Macbeth the Scottish Play. The invocation of the Powers of Evil has supposably conjured devils at the first performance of Doctor Faustus in 1592 (or there abouts).

Some rationale for the Scottish Curse has been the dim lighting which makes it much easier to make a mistake or trip over something. Furthermore, there are 8 scenes that involve combat (with axes, daggers, swords, etc...). Adding in the fog or smoke (which makes the stage slippery and things hard to see) and trap doors and other theater special effects, there are many opportunities for the accident prone novice, and more than enough for even a seasoned veteran to spawn a disaster. And just for fun, toss in the fact that it is the shortest of Shakespeare's plays and thus the least likely to be completely rehearsed (something added at the last minute to the repertoire, after all, everyone knows Macbeth the Scottish Play).

Break a leg
In many places (including gambling) it is bad luck to wish someone good luck. Thus, the flip of the luck. Another possible origin is that it was a wish to literally break the leg - or rather, bend the knee as part of a deep bow to acknowledge the applause. May other possible origins abound.

It is bad luck to whistle on stage
When the modern theater was still in its infancy, people were needed to be stagehands. Where can you find someone who is familiar with knots and not afraid of high places. The first stagehands were likely to have been sailors (who brought with them a whole host of superstitions themselves). The way that sailors communicated much as they did on the ship - with whistles. Consider, what would happen if you whistled the sound for 'drop set' while standing under it. Bad luck indeed.

It is bad luck to knit in the wings
With the combination of the magic of knots and the use of knots in the theater this superstition has grown. Nowdays, it is more of intrest to knitters than the actors and stage crew.

It is forbidden to say the last line of a play, except in performance

The "R Word"
Heavy cord. It is considered rude in some circles to say the word in the theater, for in an earlier age, it spelled the end for many actors.

The Ghost Light
Often, a lamp is left burning in center stage when the theater is unoccupied. While this acts as a night light, it also keeps the theater ghosts from becoming lonely and resentful.