[-New York-] So here's the bad thing about New York:
There are so many niches, and so many clubs that cater to those niches, that if you don't know what to do on a Saturday night and end up going to a random club, odds are you'll end up at a bad techno joint with what's referred to in the local nomenclature as the "bridge and tunnel crowd." So avoid Saci on West 41st, unless you're into that kind of thing.
Also, don't fare jump at the Times Square station at 3am on a Saturday.