If you are just asking a general native speaker's question about whether one is correct or not in certain contexts, Otherwise, here's a more technical answer for non-native speakers.
They are both prepositions (as in, words that indicate position relative to something else). 'In' is for when the object in question is inside something else.
"Where are you? I'm in the concert hall already."
This means that the speaker is inside the building, waiting for his or her friend. 'At' is more general. It can mean inside, but if you're not a native speaker of English, it's difficult to know when this is true, so just avoid it. Use 'in' if you mean inside. 'At' means that the object in question has arrived or is there.
"Where are you? I'm at the concert hall already."
Then means that the speaker has already arrived there, waiting for his or her friend. It could (but not always) mean the speaker is inside the building or standing in the parking lot. But he or she has already arrived at the hall, and is somewhere within the area. Technically speaking, 'at' is so general this could also cover the speaker standing on top of the building (replacing 'on') or in tunnels underneath the building (replacing 'below' or 'under'), but of course these are less likely. It does, however, lend to some comical moments in television or movies, if they person listening on the other end of the phone doesn't realize that 'at' might actually mean the speaker is dangling over the building in a helicopter.
At times, though, 'at' specifically means not inside. It can kind of mean 'until'. As in:
"I stopped at the gates to the estate."
This means the speaker went up to the gates, then stopped, not going inside. Obviously, you can't really stop inside the gates - you can technically say that to mean that you stopped in the process of passing through them, but native speakers would probably choose to express that as "I stopped in the middle of the gates".
The intricacies of English are so difficult. It really depends upon context and which verbs are used. But that's a general idea of the difference.
Here are a few more examples of changing out one for the other:
"I found an office chair I liked in Staples."
vs
"I found an office chair I liked at Staples."
Here they are completely interchangeable and mean the same thing. You would have to go inside the store to get the chair, so 'at' automatically also means 'in'.
"I am at the lake."
vs
"I am in the lake."
Here they mean totally different things. If you are 'at' the lake, you are sitting around it somewhere. If you are 'in' the lake, you are swimming in the water.
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