Hip Hong Kong- Senses 99 F Wellington Street Hong Kong MySpace.com - phonograph - 27 - Male - hong kong - www.myspace.com/phonograph_hk
Both Sense 99 and Phonograph hold some live music gigs. Phonograph is more local. You should try if you want to get away from R&B or Hip Hop music in Lan Kwai Fong.
There is also a cafe/ bar at Tsim Sha Tsui called First Cup with good music.
Enjoy!