I went to Club Aruba, which is a very small venue inside the hotel, for the Halloween Town show last September. They were the opening act for The Killers and I heard that after the concert at Mandalay, they would be relocating to Aruba.
Let me start off by mentioning how sketchy the area is. I had a hard time finding parking because all the spots were occupied by those who were hitting the Thunderbird Lounge. I had to resort to paid parking across the street. If you're a lady, I don't recommend you being alone in this area, especially late at night. As one of the reviewers mentioned, you will literally run into men who look like pimps in waiting. You will also get hassled. To say it's pretty scary would be an understatement.
Besides the sketchy area, the venue inside is pretty intimate. There isn't a formal, elevated stage for bands but it's nice because you can get as close as you would like, without the restraints of a typical stage. That's what I really enjoyed about my experience at Aruba. You definitely get that underground vibe.
Overall, the venue inside is pretty cool but you just have to be careful when making your way into the hotel.