The only proper nightclub in Gudauri is in Marco Polo Hotel. It is only open on weekends, but its usually very lively. It's not a particularly innovative décor; standard nightclub look, with a couple lounges and a bar. Lots of popular brands of alcoholic drinks are on offer as well as beer, but the prices are high for Georgia. It is open for non-hotel guests, but don't be surprised if the bouncers exercise “face control” - if they don't like the look of you they won't let you in, so don't bother trying if you are already quite drunk.
