Like driving the freeways in L.A., it's a crap shoot to idealizing the best sex venues. But, if I were to name a few, here goes:
"Le Depot" - Paris, France (dance club on the main floor; dark and sleazy basement with GHs, private rooms, and slings).
"Slammers" - Los Angeles, CA. Kind of partial to this place as it's close to home, and it's pretty high on the sleaze factor.
"Blow Buddies" - San Francisco, CA. Though they stress safe sex in this joint, I've BB-ed and taken loads here.
"SF Cockpit" - San Francisco, CA. Membership needed for entry; but once you're in, the skies the limit on this group. (Their sex parties are @ Mack Folsom in SoMa).
"Magnitude" - San Francisco, (Folsom Street Fair Weekend). Though really a circuit party for guys into leather and fetish; considerable room/space set aside for "live demos" and sleazy fucking sex.
Honorable mentions, but the back rooms in sleazy gay bars in Amsterdam, Madrid, and Italy.