Hi Brian,
To answer your question directly, linking to these pages is the preferable option of the two.
That said, if it were my campaign I'd be looking to cut down on the volume of these pages to make them a bit more manageable first. I've listed some suggestions below that may point you in the right direction, take from them what you may!
Get Rid of These Location Pages These days, having a "Bands in Atlanta, GA" page isn't necessary to rank for that term. Your site is clearly about booking bands so if you've got a Georgia page in this example and your band's profiles list their locations, this combined with a generally well-optimised site means you can still rank for it just fine. Right now, having 750 orphan pages that are essentially duplicates of each other is not doing you any favors.
Consider How the Users Expect to Find a Band The user experience on the site right now is by now means bad but if you were to remove these pages, this is the way I would go about it:
Change "Browse Bands" to something more specific to their intent; perhaps "Find a Band". We're talking semantics here but "Browse Bands" suggests to me that I'm about to see a huge list of bands to sift through and I'm just as lazy as the next user.
Let the filters do the work. From this band finder page (essentially your existing /bands#band-finder page), have 2 drop-down options at the top. The first one for Location and the other for Type or Genre. Again, minor changes but I would expect that most users want to find a band in a specific location so rather than putting this option in the top corner as a text link, make it the most prominent option on the page. Also stating that the other drop-down is before they click it is another minor difference but helpful. "Now Showing: All Bands" isn't entirely intuitive. Minor detail.
Add a Page for Each State 750 location pages is not only hard to manage, it's also hard to offer unique value for. If you add a page for each state this is much easier to do. You can talk about the regional differences between each (most popular genres, different laws, any other common differences or booking requirements etc)
You could also include the pre-filtered results for each state on these pages to give users another way to find a band quickly. ie From the California page, show the California bands by default and they can select their specific town/city from there if they like.
Another great way to add unique and valuable content would be to have 1 to 3 featured bands on each state's page. This may be risky if it's going to upset other bands so it's obviously your call as well but it lets you expand a little more with something valuable and you could even include the areas they service which is a legit reason to talk about specific locations.
Include Serviced Locations on Band Profile Pages The current band profile pages are excellent. Videos, song samples, a list of songs, photos, reviews etc. Great work! The only thing it's missing is the areas they service. This is redundant for people finding the band through location filters but not if they go straight to the "Select a Band" drop-down.
Bonus points if this list of locations is also shown on a map rather than just a text list, though text is also important for those using Ctrl-F to find their location.
Build Links to State or Band Pages Building location-specific links to either of these pages will add another signal to search engines that you offer the solution to a user's intent. This can be as simple as offering your featured bands a "featured on" type of badge that links back to their profile on your site. Something similar to "as seen on TV" where them linking to you genuinely helps their own site/image by suggesting to their visitors they're trustworthy.
Don't Hide Too Much Content Be mindful of how much content is "hidden" in those pop-up windows. Bits and pieces of info is fine but if you do start populating pages with lots of content and obscuring most of it, you're devaluing your hard work!
This turned into quite the lengthy response that went on a bit of a tangent but hopefully it's at least somewhat helpful to you anyway!
Thin, duplicate pages bad; unique, rich landing pages good!