G-A-Y, probably the most well known gay venue in London. Currently held at the Astoria Theatre. It runs on a Thursday, Friday and Saturday night.
Thursdays are "Music Factory", having never been I can't really comment further than that.
Friday night is Camp Attack; which is well, exactly what it says: an attack of all things Camp...boy bands etc. galore! But great fun, especially if you're feeling nostalgic for 70's, 80's and 90's music. Saturday night varies a bit more, the music is usually more up to date and the crowd a little younger (predominantly 18-27, I would guess. Saturday night is also show night, G-A-Y has always attracted some of the biggest names in the pop industry to play on a saturday night, including Kylie some 13 times!! If there is no show then usually there is some form of theme, be it school disco or top 100 dance floor fillers.
Generally G-A-Y is a very happy kind of place, I've never really noticed much in the way of aggressive behaviour or the kind of "meat-market" mentality found elsewhere. Generally it seems a fun and safe place to let your hair down. Although I would say that if you are looking for a 100% gay club this probably isn't the place; straight admissions have increased hugely recently, regulars at the club are trying to get this brought back to the 80/20 ratio but we'll see.. See the website for current details/forthcoming acts/prices etc.
Also, there is now the G-A-Y bar on [Old Compton Street]? which is open 7 nights a week. They have all the flyers for discounted entrance which saves milling about trying to find them!! There is also a ladies only bar downstairs. Drinks etc seem fairly reasonable for Soho! Whilst some of the offers are definitely wortha look. Word of Warning though, if claustrophobia is not your thing then steer clear of Friday and Saturday nights (esp. if a big name is up at the club) - it's heaving in there!! But again a very camp (pink, fairy lights etc), very fun and friendly atmosphere. Enjoy!!