If you have a taste for fun, and a little risk, try Palermo Viejo.
The locals all set their own fireworks off after midnight, and it seems to be some sort of campetition who has the biggest. (sexual pun definitely intended). It is the best free firework display I have seen. Last year one guy had a thing the size of a milk crate, he could hardly carry it, but when he set it off it lasted for five minutes or more.
The risk comes from it being totally un controled, they are not as mad as the Amsterdamers, but you still need to take care.
If you go send me a note, I cannot be there this year, and I am missing it.
By the way almost all venues are closed until after midnight, I think the locals like to celebrate at home.
one of the big problems always is transportation home late new year eve and this years there are reports of no nafta for taxis or cars on the 31st and 1st which could pose even more of a problem, i guess that means be prepared to party for at least a day and a half!