There are four really good places to go out in Moscow. Solyanka
(hipster heaven), Rodnya
(more edgy, great music, young crowd), Simachev Bar
(tasteful decadence) and Strelka Bar
(a bit older, serious, intellectual crowd). They are hip, they have a great atmosphere, quality music, and beautiful interior. So if you don't want to waste your time, don't go anywhere else.
The problems start when you want to actually waste your time and find some hidden gems. Because there's none, really. The "good" clubs are too occupied maintaining their cult status to allow for anything that would be risky and weird. Besides, exorbitant prices make sure that those who would not give a fuck simply stay away (meaning you get the same boring stuff all over). The "bad" clubs are busy copying what their patrons have seen on an occasional trip abroad, so you won't even get a taste of the authentic Russian kitsch, which could be quite exciting (head to the smaller towns for that).
Now, if you can cope without dancing, then there is hope, because places like Dom, Aktovy Zal / Fabrika, and other experimental venues often host some very fine live sets and attract a very pleasant crowd. Mayak, the intelligentsia headquarters, is technically a bar, but Fridays tend to get super crazy by 3 am with some drunken table dancing and fights accompanied by Beyonce & Rhianna.
For afterhours, head to Krysha Mira (the elitist house music heaven), Arma 17 (a warehouse with Berlin-like techno feel), and Minibar (the small basement next to the Federal Drug Control headquarters, where - ironically - you can see the highest concentration of people with dilated pupils in Moscow). All those places will welcome you after 5 am and onwards.
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Finally, you should also be aware of the Moscow speciality that we call face-control – implemented by the clubs that don't have enough confidence. Speaking English while passing through the security always solves this problem though, because the imbeciles at the entrance don't really know how to deal with foreigners.
The entrance to most of the clubs is between $10 and $15. The drinks are super expensive, beer is about $5, vodka shot can be around $10 at some places, cocktails range from $5 to $20 per drink. Usually the fun starts around the midnight and it's not rare for the parties to go on till 5-6 am. Most places are opened 24 hours in Moscow, so you can easily go and have a great meal right after clubbing.