There are 2 main areas in Hong Kong you'll want to go specifically for the Night Clubs.
Firstly, Lan Kwai Fong is very busy all night, 7 nights a week. With a number of bars and clubs there are many people that choose this location to spend their night.
To get to Lan Kwai Fong take the MTR or Star ferry to Central and walk North. You'll see signs to Lan Kwai Fong on your way. It's about 15 minutes walk from the Star ferry terminal and about 10 minutes walk from Central MTR station.