I was there for New Year's Eve, and we went to Epcot - although it rained on us and we ended up back at the resort before the midnight Illuminations and fireworks.
Advice on where to go...it really depends on who you're with and what you want out of the evening. Keep in mind that MK is usually the most crowded, and no alcohol is served there either. Also transportation is supposedly a nightmare, so take that into consideration as well. We chose Epcot primarily due to its location within walking distance of our resort, and also Illuminations is a favorite.
Wherever you decide to go, make sure you have PS for New Year's Eve b/c everyplace will be booked. We saw people trying to get into a restaurant that day, and they were told that the soonest they could get in was the following day.