I like compliments.
I smile and say thanks, glad you liked it. A little hand shaking might ensue if they [i]really[/i] liked it. Keep eye contact and appreciate what's happening.
Like applause, a cheer at the end of a number, dancing and a shout for encores, it means we're doing something right and, if they're paying any attention, it's a signal to the promoter that the band done good.