Freak Bar at Coney Island USA. 1208 Surf Ave. at W. 12th St. in Coney Island. www.coneyisland.com. Open Sun-Thu noon-6pm; Fri-Sat, noon-midnight (hours may vary, depending on the weather).
I love the Coney Island Circus Sideshow, and I currently work the door there, so consider my objectivity with a grain of salt.