You would go "to" a place or "to" an event (circus, game, concert) in order to watch something that you are not really a part of. If you say "in" the circus or "in" the concert, it implies you are part of (performing in) the event. You could use "at" by saying "I will be at the circus this weekend", or "I was not at the concert last week" - just a different construct (was at .vs. have been to)