Although the default word for "at" in Russian is в, there are many nouns that are used instead with на. Some of them group into broad categories, and some of them just have to be memorized one at a time. Among the broad categories are:
Classes and other things you attend
на ку́рсе
at class
на ле́кции
at a lecture
на пра́ктике
at the practicum
на репети́ции
at rehearsal
на семина́ре
at a seminar
на собра́нии
at a meaning
на экза́мене
in a test
на бале́те
at a ballet
на вы́ставке
at an exhibition
на конце́рте
at a concert
на спекта́кле
at a show
на о́пере
at an opera
на пье́се
at a play
на фи́льме
at a film/move
на заня́тиях*
at class
* Note plural form of занятия (sg. занятие). In the meaning of "in/at class" it is only used in the plural.
Things that must simply be memorized
на база́ре
at the bazaar
на вокза́ле
at the train station
на да́че
at the summer house
на по́чте
at the post office
на рабо́те
at work
на фи́рме
at the company
на ры́нке
at the farmer's market
на дискоте́ке
at the disco
на дне рожде́ния
at a birthday party
на пра́зднике
at the holiday party
на войне́
at war
на би́рже
at the stock exchange
на консульта́ции
at a tutorial
на куро́рте
at the resort
на скла́де
at the warehouse
на заво́де
at the plant
на фа́брике
at the factory
на комбина́те
at the industrial complex
на ста́нции
at the station
на ку́хне¹
in the kitchen
на факульте́те
in the department
на кани́кулах
on vacation
на экску́рсии
on an excursion
на Украи́не
in the Ukraine
на Камча́тке
in Kamchatka
на Аля́ске
in Alaska
¹ This word is undergoing a shift from being a на word to being a в word.