Before the theatre moved to its present location on Drury Lane in 1663 ( http://www.pepysdiary.com/encyclopedia/475/ ) it was on Vere St, which can be seen in the top right of this 18 century map: http://www.motco.com/map/81002/SeriesSearchPlat...
The street no longer exists (although there is now a different Vere St off Oxford St).
Emilio • Link
Also known as Gibbon's Tennis Court, located not far from Lisle's Tennis Court where Davenant opened a competing theatre about 6 mos. later. Here's a link for more information about the two theatres, including an animated map from the period:
Glyn • Link
The Drury Lane Theatre that Pepys writes about burned down in 1672. Here's a description of the one that was built in 1674.
Here [Vere Street, Clare Market] stood Gibbons's Tennis Court, converted into a theatre by Thomas Killigrew; and in this temporary building his company performed from 1660 till April 1663, when the new theatre in Drury Lane was ready to receive them. They furnished a list of twenty pieces, which they termed their stock plays. Of these three only were Shakespeare's, but one of them, Henry IV., was acted on the opening night, November 8, 1660. Dryden's first play, the Wild Gallant, was brought out here in February 1663.
---London, Past and Present. H.B. Wheatley, 1891.
Vere Street is descends from the upper-right corner of this segment of the 1746 Rocque map
Chart showing the number of references in each month of the diary’s entries.