OMG yes, I had several!
The Espy - St Kilda, best place for live music.
The Collingwood Club - Collingwood, another live music venue. They had a mix of band playing throughout the nights so you could listen to rock, blues, country, or punk in the same night.
Bridge Hotel - Richmond
Geebung Polo Club - Hawthorn, if we felt like poshing it up.
Young & Jackson - Melbourne CBD
We occasionally went into King St for the nightclubs but not often, I wouldn't dream of going these days and would never recommend anyone to visit - far too violent now.
These were back in the days when a lot of these places were open until 7am in the morning, I believe a few changes have been made to many of the places.