I've had some of my best nights out ever at Dragon I and Volar. They have some great DJs at times. Come to HK, head to LKF, talk to some people, and they'll lead you in the right direction.
Wanchai is very popular with the younger crowd because it's cheaper and there are ladies' nights where ladies drink for free, so don't discount it entirely. I don't go out much anymore (way too busy), but Wanchai's not all pros.