SXSW is approaching, so it must be time to talk work permits (or work visas, if you like). Work permits can be a tricky topic for musicians. If you are traveling from abroad to play an event like SXSW or a music festival, then you will almost certainly be required to have a work permit before you take the stage. Sometimes the event organizers will arrange the work permits for you, but not always. You may have to take care of the paperwork yourself, which can require a significant time and financial investment on your part. Don't expect flexibility from large event organizers, however. They won't be letting you take the stage with a nudge, nudge, wink, wink. Doing so would open them up to serious consequences. They're not going to gamble their event on letting you play without the proper paperwork, no matter how fab your are.
So, what about ye olde garden variety international tour? First, keep in mind that it is impossible to give a blanket correct answer here. The rules that apply to you depend on your country of citizenship and the country to which you will be traveling to play. However, generally speaking, if you are earning income by playing shows in another country, the law will usually say that you need some kind of entertainment work permit. At a certain level in the industry, your manager, agent and promoters involved in a tour will handle all of this. It is smaller scale tours where things get tricky. What if you are actually LOSING money on the tour? What if you're not making very much?
I'd be lying if I pretended that many, many indie tours don't fly beneath the radar in terms of work permit - but that doesn't mean that it is the legal way, and that doesn't mean you might not get politely redirected back to your own borders by immigration control when you show up for your "visit" with three guitars, an amp and a drum kit in tow. When you play it fast and loose, you are also playing it fast and loose with your ability to ever get a work permit to tour in that country. Plus, playing around immigration law? Not something you want to get mixed up in.
The realities of small scale tours - financial and otherwise - can sometimes make the work permit issue difficult, but you still need to educate yourself about the rules before you decide what options you have. Don't leave it to the morning of your flight. That is a surefire way to get a very nasty surprise. Learn more about work permits.