Second dates are still not the right time for going to see a movie, live theatre, comedy show, or concert. You should pick another location where you can get comfortable and have a conversation. Find a locale that is both unique (to show you made a bit of an effort to choose something because you’re excited about the date) and informal — because you want to create a relaxed atmosphere to begin getting to know each other better.
It doesn’t have to be super expensive, but it shouldn’t be such a loud place that you can’t hear each other. And ideally this date occurs within a week from of the first date!