The Stadium is examining ways to operate on renewable energy such as solar and wind power and is also seeking to recycle rainwater and refuse created by events. The Stadium will kick-start this initiative with a smoking ban from 1st January 2006.
"A recent trip to Ireland to see their non-smoking policy in action gave us the idea," said Millennium Stadium chief executive Paul Sergeant.
"There are very few stadia throughout Britain that operate an entirely no-smoking policy, but the idea is catching on with some of the bigger venues like the City of Manchester Stadium and Sunderland's Stadium of Light.
"Non-smoking in public areas is widely accepted nowadays especially in public buildings, shopping arcades etc. It is becoming a public expectation and we are looking to make the Millennium Stadium experience as pleasant as possible for everyone.
"We want to encourage people to give up smoking for New Year" he added.
The Health Minister for Wales Dr Brian Gibbons has backed the Millennium Stadium's initiative and expects others to follow suit.
"The Welsh Assembly Government has already indicated its intention to introduce a comprehensive ban on smoking in public place, so I applaud the Millennium Stadium for taking this early, positive step," said Dr Gibbons.
"I hope other venues in Wales will follow their example. I'm pleased to see sports venues promoting smoke-free environments where audiences can enjoy their visit without the risks of passive smoking."
Following the smoking ban the Stadium will look at a number of ways to utilise renewable energy including the use of solar panels and wind turbines and recycling water and rubbish.
During the Autumn period, which included capacity crowds at Welsh rugby's four home international matches, the Supercross Grand Prix and the sell-out Noise & Confusion concert headlined by Oasis and the Foo Fighters, the Millennium Stadium collect a staggering 87 tonnes of rubbish.
The Noise and Confusion concert, which also featured The Coral and Razorlight, collected 12 tonnes of rubbish all on its own.
"The Millennium Stadium is taking the New Year 2006 as a starting point for a new commitment to a social responsibility to take drastic steps into looking after our environment," added Sergeant.
"We are now in a position at the stadium to start addressing pressing issues about energy sources and usage. Like thousands of others I never thought energy saving applied to me but we have a responsibility for our children to start taking steps to save our planet and the Millennium Stadium has recently been voted the most iconic building in Wales, so what better place to start.
"The Millennium Stadium's aim is to operate as much of the stadium as possible on renewable energy by 2009 and starting to recycle the huge amount of rubbish we get through in a year is a great way to start."