The BDSM club exterior was from a former real Manhattan S&M club called the Vault (a.k.a. The Hellfire Club) in the meat packing district of Greenwich Village. The interior is a set, but the red signature V is on one of the walls. The entrance used was from the gay club side called "The Manhole".
The trivia items below may give away important plot points.
For the scene where Jennifer Jason Leigh seduces Bridget Fonda's boyfriend, without him realizing at first that she isn't who he thinks she is, Leigh was still having her make-up applied so the scene was shot with Bridget Fonda playing her own double. It was only the first part of the scene where the woman gets into bed (shot from the back) which Fonda did, as Leigh's character, as Fonda's character. The rest is done by Leigh.