There are NO specific live music venues in HK (yes yes world city but not entertainment wise...)
Occasional Fridays and Saturdays:
Fringe Club (2 Lower Albert Rd) with live bands playing, sometimes original, sometimes covers, one night a month is jazz orchestra.
$80 upwards door entry
The Underground (
http://undergroundhk.com) - original live music event held in bars around town - join their mailing list to find out all the original live music events held in HK. Also has live reviews of local bands so to help newcomers decide which bands to check out.
Underground events are $40 door entry.
The Wanch (54 Jaffe Rd) has reopened and has cover bands playing Fri/Sat nights with the occasional original thrown in. The Wanch is a pub - free entry.
Hope that helps!