Wow, look at all the Kentuckians here! I lived in Lexington from birth till 2006, and I'm probably going to be moving back this summer.
(BTW, I didn't move far; I'm still in Kentucky, right outside of Cincinnati)
Lexington has some good bands, although I don't know if they are still in tact (a nation wide problem with trying to find local bands).
Good Lexington bands/groups/artists:
http://www.myspace.com/thescourgeofthesea
http://www.myspace.com/chicofellini
http://www.myspace.com/emilyhagihara
http://www.myspace.com/sexualdisasterquartet
EDIT: I just listened to the first song by Sexual Disaster Quartet... I don't know what that is, but it's not the SDQ that I know... listen to the second song, it's a little better