Yes, many times and across the good ole USA. The ones that I like in each state/city:
NYC - Scores (cute girls and high rollers)
Las Vegas - Olympic Garden (cute girls and fun place)
Dallas - Baby Dolls (on old location near Bachman lake, decent place)
Tampa - Mons Venus (hottest nude dances but be prepare to bring tons of money)
Atlanta - can't remember the name, it is the place that got busted a while back (NBA stars, drugs, prostitution), Golden something I think.
Houston - Rick's (you can buy stock, it is a public trade company)
Austin - Yellow Rose (hang out place for locals, some UT coeds work there, best free buffet for a strip club)
San Antonio - Shotgun Willie (clean, decent place)
There are a few more but I can't think of them right now. It had been a while.