It really depends. I wouldn't buy it from scalpers but you can try buying the tickets for a concert/play you're really interested in (no movie/football/railway though).
Better to buy it right before the concert/play starts.

No.

But this doesn't mean you can't buy tickets from them. If you take certain precautions, they are a convenient way to get a cheap, last-minute ticket to the show you really want to see. Always check the ticket booth first to make sure there are no tickets available, and make them walk with you to a place where a worker can check the ticket to confirm that it's real.

I wouldn't buy anything from scalpers - I've heard many stories from people who bought tickets from them only to discover later that they wouldn't be let in or found themselves fighting for seats that had already been sold to someone else.