One rung down from Marianao's world-famous Tropicana, but cheaper and closer to the city center, the nightly Cabaret Parisién in the Hotel Nacional is well worth a look, especially if you're staying in or around Vedado. It's the usual mix of frills, feathers and seminaked women (and men), but the choreography is first class and the costumes wonderfully flamboyant.
Doors open at 9pm. There's a warm-up band and one cocktail is included.