Many places in Budapest are clip joints with bouncers who will walk you to an ATM after charging ridiculous amount for drink.
Be wary of girls approaching you on street to entice you into bar. If girls don't approach you in your home city, remind yourself of that when you are approached.
Also ensure you follow proper protocol / ticket stamping on train/subway, as the transit personnel are quick to fine tourists.
Budapest is a fantastic city, but one should tread very cautiously, particularly at adult establishments.
With so many great non-vice activities in Budapest, I recommend that you forego strip club visits when in this city.