Although clubs and bars are multiplying in Delhi, you still have to look hard for them. Whenever you feel like dancing, the best option probably is to go to one of the big hotels that presumably has a private club and bar. It is quite likely that you end up watching a Hindi film or a traditional dance performance, finished off with a beer or lassi and an early night of sleep. After all, it's going to be a busy day again tomorrow.
http://www.nightlifedelhi.com/delhi-hotels.html