I highly recommend checking out the Pigalle red light district at night, thats where the Moulin Rouge is anyway so you'd probably pass through, though hold onto your handbag tightly!
Also, the Musee D'Orsay if youre interested in turn of the century performers, theres loads of Toulouse Lautrec paintings depicting the Paris nightlife.
Ooooh, I've mispent a lot of my time in Paris over the years, Go to Caveau de la Huchette for music and The Slow Club - they are cool places that make you want to smoke Galois, X
I went to Moulin Rouge last July, a pressie form my boyfriend! Have to say it was worth the money, definately an experience and although not the most fun show I've seen, a legacy in its own right. If if you can, go xxxx