I've been to most strip clubs in Edinburgh and the Western bar still ranks as my favorite. It's the smallest but they make the best use of their space. They have four dancing booths that are just big enough for you and the dancer. Dances Sunday through Thursday at a fiver which is the best deal in town.
The girls are for the most part very friendly and down to earth. They are happy to have a conversation with you before you go for a dance. They'll come up to you and ask if you'd like a dance but not be too pushy. That's good for the shy guys who wait to be asked.
I realize that some people will find the place to be pretty low rent but for me there's something charming about it. I'd highly recommend a visit, have a drink then a dance and I'm sure you'll start to see what I see.