Pharoahs out by the Buffalo airport is the most popular one on the US side. There are a few strip clubs around Buffalo but nothing like what you would find in Canada. If you go down there, SoHo, and Level are the more popular places but there is something for every type of bar/club taste.
Bars are open till four so keep in mind that no one really goes out till around midnight. Your best bet if you do not want to cross the border would be getting a limo and hitting up the Chippewa St.