The Mpls Eagle, Bolt and the Bolt Underground (all combined on Washington Ave) sometime enforce a leather/jeans dress code on weekends. Check ahead online or by phone. The enclosed outdoor patio at the Eagle can get quite raunchy if there's a good crowd. I've seen guys having sex out there, and even getting fucked on the pool table inside. Downstairs at the Bolt Underground I've seen bondage demos, hot waxings, floggings, and all kinds of BDSM stuff.
Hennepin Ave has several gay bars, the Saloon being the largest and offering dancing. The Brass Rail on Hennepin has drag nights, as well as the Gay Nineties a block down, but it's straight-owned and a bit touristy. Over in St. Paul the Townhouse is a smaller neighborhood kind of bar, but is a mecca for drag queens, and often has good shows.
Already mentioned above, Wilde Roast is a cozy place for lunch, with an attempt at a residential feel. A bit pricey for what you get, though.