There are a couple local music scenes doing well. Chapel Hill/Carrboro comes to mind the most. It's small, and somewhat insular, but if you manage to be in one band in Carrboro, you'll probably be in 8. Although, it's definitely on the more expensive end for around here. While not entirely true, I associate CH/C with "indie rock" more than other genres. Lots of music venues.
Durham tends to be the more affordable, depending on the area. In fact, it's so cheap so some spots, that musicians actually own their house! Obviously, there are reasons for this, but if you consider yourself an urban pioneer, check out Cleveland Holloway
. There are a handful of musicians I can think of that live there.
Tons of students live in West Raleigh, around and south of NC State. It's a great area for students, and I'm sure plenty of them are in bands. Downtown Raleigh has a lot of music venues as well, plenty of reasonably priced housing options for rentals around DT.
NC State's college radio station
is a great place to learn about the music scene here. Listen to the "local lunch" from 12-1.
If you're visiting, check out some the venues where local bands are playing and ask around, couldn't hurt.