I talk to people who are there to see the band and find out what songs they would like to hear, thank them for coming, ask them if they are having a good time, etc. The audience members want to feel special and appreciated. If somebody requests a song we play, I get it into the next set and dedicate it to them. After all, they could go spend their money watching another band.
This is what I do too... on the nights when we're going over well and I'm feeling sociable.
Other nights I just a grab a beer, find an unused table someplace and chill out alone or with other bandmates. If it's nice outside I'll step out for some air. About 5-10 minutes before we go back on I go onstage and check tuning.