Every advertisement for a magic trick shows hot women screaming as the effect is performed.

There is no law (in most places) prohibiting videoing in public places.

There are many YouTube channels where those in the industry review various magic tricks. Jamie used to have a channel where he described the reactions of spectators from various effects.

Would it be unethical to have a video pen to record the reactions of spectators for using on a review channel?

While it may not be illegal to video tape in public places, doing so clandestinely seems "creepy" at best.

Why not just allow spectators to know they are being taped for something?

You'd probably get more active (and enthusiastic) participants. Some might even over react. Its been known to happen! LOL

:)

Over the last fifty years I have monitored many attempts to record people at work, school, sales training, even shopping,
in addition to performances "for entertainment." People act differently ad tend to say or act as they think you want rathe than being natural,
or try and steal the lime light in some way. Some be clear on what you want as a result. Developing a routine for use with a non-recorded audiences won't work well.

Secretly recording people has ethical issues. Also, for a magic performance (conjuring or mentalism) there is a level of trust involved
that can effect "who you are" and bias the impact of the performance. The small camera you mention would never provide a useful
perspective of events. If you just want to record screams then hide it under the table but not on your person.

So, that leaves recording the entire performance from a distance with audience knowledge. Just like being in church these days
with the entire service sent on Zoom. With no camera in view you might get some honest reactions, but it might not be useful for your purpose.

Is a closed room where folks have bought tickets "a public place?" Some folks may desire an assumed level of privacy or anonymity -
hate to see you as a defendant in some divorce proceeding

Me, I have a problem with connecting YouTube and "people in the industry." or why the reaction of "hot women" screaming has
anything to do with crafting a good magic performance. Neither represents what an average audience member feels about your Effect,
or the story they will tell when they get home.

If you want a valid response, have a friend/mentor sit in the audience, listen to comments and observe non-verbal cues -
with time ticks so that later you can compare the timing of reactions with where you think the magic occurs.

Just be clear as to what you are about ...

Other topics to research: 1-party vs 2-party states (do both have to know it is filmed). Also, use of video for a profit generating/business application without consent or compensation.

There is no law in most places? Where is this research?

I would think quite the opposite, but I’m certainly no authority.

It only takes one very upset person to make it incredibly expensive even if you are right.

What is wrong with getting permission? This way it is not creepy, it is not unethical or any sort of problem in the least:

That's exactly what release forms are for - getting their consent.

Not only unethical, but most likely also illegal in your jurisdiction (check this with a proper legal advisor though).