This is my 2nd trip to...
This is my 2nd trip to TJ recently. I hit Adelitas the first time, now it's HK's turn.
I took the trolley down ($3 for a all-day pass) on a Sunday afternoon, and walked across the border. Cab for $5 (+$1 tip) to Hong Kong (just walk away from the guy if he asks for anything more... $5 is the standard fare for the area). Very easy and safe border-to-door service.
Honk Kong Club, like many have said is a very large, modern dance club/strip club/brothel. After visiting Adelitas last time around (a small, old, dark bar/strip club) I was blown away at how huge and modern HK is. I spent the first 20 minutes or so exploring the place. It's 3 stories with kind of an open ampitheatre feel with the top two stories open in the middle so people can look down and watch the main stages in the middle of the first floor. Several winding metal catwalks criss-cross this opening in places and there are a multitude of doors that go god knows where along them.
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