I've just always preferred the indoors...I don't like heat, I don't like cold...the indoor life is for me!
I like indoor concerts, prefer not too large halls. Better sound usually. But not indoor festivals. Well in summer at least. Coolest indoor festival I know and have been to is the Roadburn festival (Netherlands)
In Edmonton Alberta, there is the "Shaw Conference Centre". It hosts raves and concerts, and is quite large, like an underground football stadium! That's the only thing I could think of. I don't think they do festivals, just like one day events.