If you really want to immerse yourself in the atmosphere of Prohibition, underground speakeasies* and great music, New York has an option for you. In a small basement that fits 30-40 people right in the heart of Harlem, Bill Saxton plays excellent jazz. According to reports from the New York Times, they've managed to recreate the 1920s-1930s atmosphere with incredible accuracy. Not least because visitors are invited to bring their own alcohol, and the space is very small and intimate. If you're in the area, I highly recommend it.

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*speakeasy — an American phenomenon of underground bars from the time when alcohol sales were prohibited. The name comes from the English "speakeasy" (speak quietly), though the term itself appeared decades before Prohibition in England to describe contraband establishments. Sometimes these drinking establishments were called "blind pig" or "blind tiger" because money was charged for viewing the animals, while alcohol was given as a gift. Americans invented endless ways to get around the law. They used everything imaginable to disguise the business, including funeral homes. In New York alone, there were between 30,000 and 100,000 such establishments in the 1920s.