A classic spot for live jazz, La Zorra y El Cuervo has been a Havana stable for decades. Live music starts at a Cuban 10:00pm, but get there by 9:30 (9:00 during peak season) for a good table. The musicians are incredibly talented, and the $10 entry fee gets you two drinks, so all in all, not a bad night. Just avoid the food.
23rd between O and N, Vedado (look for the red British telephone booth)
Music starts at 10pm