The Opera House is a legendary structure said to have existed in the City of the Gods on Kobol, birthplace of Humanity, along with other edifices such as the Forum and Temple. These are the first ruins on Kobol that viewers see after Crashdown's Raptor, damaged by a Cylon Raider attack as they headed to explore the planet, crash-lands on Kobol near the Opera House. Among the surviving passengers on that craft were Galen Tyrol, Tarn, Seelix, Cally, Socinus, and Gaius Baltar.
Shortly after his Raptor crash on Kobol, Number Six led Gaius Baltar (in one of his many virtual dreams generated through Six) towards the ruins of the Opera House, where viewers and Baltar see the Opera House as it was, millenia ago. It was in that virtual Opera House that Six showed Baltar an image of what Six claims is his future child (Kobol's Last Gleaming, Part II).
Cinematic Note
The Orpheum Theatre in Vancouver (where "Battlestar Galactica" is produced) provided the setting of the Opera House interior that Gaius Baltar sees in his dream (Source: The Official Companion).