BIG fan of Buddies for the dancing aspect... I have not been to a show here, but I'd like to go (any takers? haha).
Buddies usually just keeps one room open for dancing, but on really crowded nights, they will open their second room. Somehow, even when the space is tripled, it's still packed and sweaty--spelling out a good (but post-shower-necessary) time. Of course, you will find mostly gay guys here, but there is a sprinkling of girls thrown into the mix.
Drinks are reasonably priced and the bar is efficient. The line outside is also pretty fast. It's the little things like these that add up to a great experience. Little things like how you get stamped with PERVERT upon being granted access (careful to remember to wash that off before work the next morning...).
Best tip I can give is to dress casually and, if in doubt, go with less. You will warm up quick with all the bodies and the alcohol.
And do not wear any shoes that you care about. They will get blackened. Luckily, the black will come out of canvas shoes quite easily. It has become part of my morning-after routine to scrub my shoes down with a toothbrush and some dishsoap.