Jazz:
Syndikat club (Jardins)
Teta bar (Vila Madalena)
Barão de Itararé (on Sundays - Bela Vista)
Bourbon Street (Moema)
Other stuff:
Studio sp (focuses on Brazilian music)
Livraria da Esquina (Barra Funda)
Clash (
http://www.clashclub.com.br/)
Berlin (
http://www.clubeberlin.com.br/)
Beco
But the best stuff happens in random places if you're lucky to hear it from someone... Always check out all SESCs, CCBB and CCSP.