noun
BAD : After the meal, we went to see a drama at the Cambridge Theatre.
GOOD : After the meal, we went to see a play at the Cambridge Theatre.
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drama (uncountable) = a type of literature consisting of plays in general, or a particular group of plays: 'She has always been interested in music and drama.' 'Elizabethan drama is too bloodthirsty for my liking.'
play (countable) = a dramatic performance by actors in a theatre or on the radio/television; a piece of literature that has been written for actors to perform in a theatre etc: 'The film is a clever adaptation of Alan Ayckbourn's popular play.' 'The critics have generally been surprised by this play, which was written to be performed without props or scenery.'
Note that drama is sometimes used as a countable noun to refer to a specific type of play: 'We were expecting to see a comedy, not a serious drama.' When you simply mean 'a dramatic performance' (as opposed to a musical/ballet/opera etc), use play .