There have been rumors about striptease clubs in Reykjavík and people being offered sex and drugs, ALLEGEDLY. Remember that Reykjavík is tiny; there aren’t really any venues for larger strip clubs. Expect something more along the lines of a titty bar. I should probably mention that striptease is absolutely illegal in Iceland.
Shooters (http://shooters.is/) at Austurstæti 12 is currently your only option. They have a reputation comparable to the worst central European cesspools. Girls with foreign accents ripping people off, asking for overpriced drinks, shady backroom action: all the usual suspects. Locals steer away and so should you.