Most of the pubs/ bars (whats the differece?) in Delhi close by midnight. There are some Discotheques in 5* hotels which charge an entrance. During weekdays these turn out to be quite empty.
A new Disc has come up at Sahara Restaurant Complex in Vasant Kunj. And I think Sahara is the by far the most crowded.
I dont think there are any legal strip teases or go go bars or massage parlors. And, I am a law abiding person :) For these go to Bangkok.
Besides this there is a huge (sometimes really huge like on weekends) congregation of local junta between 10 pm - 1 am at India Gate lawns to lick on a ice candies, eat pop corn and play with balloons. So if you are staying near CP spend a family evening on lawns of India Gate.
Dress Code: Smart casuals all the way. India Gate you can visit even in your night suit.