The two hour show is usually located at the Mausoleum of Al-Ghouri near Khan El-Khalili, but it is under restoration and so the Sufi show is now located at the Citadel. At the time of writing (October, 2002) shows were at 7:00 on Sat, Sun, and Wed, and are free. Although it would be best to check when you arrive, as the times and days often change.
The show features members of a local Sufi sect playing traditional instruments such as various drums, cymbals, and flutes. The show also showcases dancing by whirling dervishes. The whirling dervish is said to have originated in Turkey, but is a common practice among Sufis. The dervishes twirl in circles wearing brightly colored and patterned skirts, that when spun produce hypnotic patterns. The dervishes will spin for 45 minutes continuously, varying their pace to match the music, then stop and be completely fine. The dervishes are the highlight of the show, but the enchanting music and beautiful singing do not disappoint.
While there may be better Sufi shows around the Muslim world, this one provides a night of good entertainment, and it's hard to be disappointed when it's free. Also, if you stick around after the show, the Sufis will be more than happy to talk, and you might get invited to a moulid (celebration of the birth of a saint) like I did, and that is a sight to behold