Penny Black Jazz Cafe is a well-known jazz bar in OCT. Keep walking past Donkey Bar and the retro bike rental. Cross a street and it is at the end of the block, on the left.
I've never been there at night, but I hear that it has great live music and hard to find beers, like London Pride.
I like it because it has one of the best spicy noodles in Shenzhen. You have to ask for the menu for "Chengdu noodles". They are just the right amount of spicy and savory.