The Shakespeare play famously considered unlucky to say aloud in a theater is "Macbeth." It is commonly referred to as "The Scottish Play" by actors and theater professionals to avoid uttering its name, which is believed to bring bad luck or a curse on the production. This superstition is rooted in folklore that a coven of witches cursed the play because Shakespeare used real incantations in its script. Throughout history, its productions have been associated with accidents, tragedies, and mishaps, leading to the belief that saying "Macbeth" aloud in a theater invites disaster. The tradition holds that if someone accidentally says the name in a theater, they must perform a ritual involving leaving the theater, spinning around three times, spitting, cursing, and knocking to be allowed back in. This is done to counteract the curse. The superstition is so widely acknowledged that theaters treat the play and its name with great care and respect.

Thus, "Macbeth" is the answer to your question about which Shakespeare play is considered unlucky to say aloud in a theater.