Lee's Palace is a decent venue in the city. They've got an interesting exterior and a good interior -- the layout is basically music venue downstairs, and dance club upstairs (Dance Cave), with the washrooms in the middle.
They usually have decent bands playing downstairs, and a fun time upstairs, but perhaps the two should have been reversed. If you're at a show downstairs, you will hear the bass thumping upstairs and you will SEE the floor shake. One day, I'm sure the ceiling will cave in.
But besides that, it's a good place to go for a show, and a fun time if you want to dance. Beware the bouncers -- they are HUGE jerks and are prone to denying people entry on a whim. And expect line-ups for Dance Cave most of the time.