yes, you can pay cover at a show if it's not full, and there isn't a line of people with badges and/or wristbands.
if you want to make sure you get into the show, you should show up as early as possible, as this is the time it will be the least crowded. not the best way to go (especially if you plan to go to multiple shows), but it can be done and shouldn't be too hard, assuming it's not a really big show (MMJ, REM, etc.)
Go to guitar center and buy the cheapest mic you can find along with the two cheapest mic cables you can find. wrap the cables around your arms and have the mic in hand and go to the front door. The bouncer should fall for this at least half the time.