The Adventurer's Club is a must.
The Comedy Club is great, too. If they do the "Shmeopardy" improv (their parody of "Jeopardy"), don't hesitate to yell. They had the category of Cold People, and they got great mileage out of my suggestion of Barbra Streisand.
If you love 70s and 80s music, 8TRAX is the spot.
Sincerely,
John "anotherboardnposter" Kilduff