Here in Canada – much as in the U.S.A., if my work experience in Texas can be trusted – the culture is that people will go right up to the wire of what they're legally permitted to do. Good luck trying to stop them! Thus, it all comes down to the letter of the law. I know several each lawyers and photographers, so here's a researched answer (though it disagrees strongly with popular understanding in places I've marked "*"):
• You can legally take pictures of people without their permission in public spaces like bus stops, parks, and streets.
• You can legally take pictures of people without their permission in private spaces open to the public* – including bars, dancehalls, and nightclubs – unless the space's owner (or their agent, like a manager, but nobody else and especially not clients) posts "No Photography" signs or their equivalent, or makes an equivalent announcement. Performers are not excepted*, but routinely put clauses in their performance contracts that obligate venue owners to make such postings and announcements.
• You cannot legally take pictures of people without their permission in their homes or on their private property.
• You cannot legally take pictures of people without their permission if that would break another, non-privacy law; e.g., you cannot photograph people naked without their permission, because that gets into the laws on decency, which are different from those on privacy. Likewise, you cannot photograph trade secrets, because that violates IP law.
• If a photo was taken legally, the photographer owns the copyright. Nobody in the photo has any legal claim to it or right to use it.*
• If a photo was taken legally, those in the photo can ask that it not be used in exhibitions, media (online or traditional), or publicity, and that request isn't considered harassment or nuisance, but the copyright holder – the photographer or their customer – can ignore the request*, and there's no further recourse.
We looked into this for the tango festival I worked at twice. As a result, every last lesson and performance by masters started with a "Please do not record or photograph without permission" message. At the same time, the fine print of the festival information said that your payment acknowledged agreement to have photos of you used in post-event publicity for this year's festival and advertising for next year's festival.
I've never seen a "No Photography" sign or heard a "Please do not record or photograph" message at an ordinary milonga.
Personally, I dislike being photographed. I'm not photogenic. In tango photos, I always seem to be caught in a weird pose or with a strange look on my face. All I see are my technical deficits.
However, I've learned to live with it because the law is not on my side.