Ice Club, Rome
We were just in town, early part of February. We made it to ICE, but they've been closed since July 2007, according to the restaurant right next door. It was disappointing. Not sure if they reopen for the summer months.
The Ice Club is a small lounge and yes, it's actually made of ice! When you go in, you're given a cloak to wear over your clothes because the temperature inside is below freezing. Once you're inside, the walls and seats are made of ice (though there are furs on the seats to make it more comfortable) and drinks are served in ice glasses. Cover is expensive but your first drink is free.
Dress Code: Wear what you want, it doesn't matter anyway because you have to wear a cloak over your clothes anyway