Cabo is full of music bars where you can drink and dance. Each bar offers a Ladies Night one day per week when they give out free drinks until 11pm. Even at the beach, several bars and restaurants offer you beverages and food -- they're a bit expensive, but you can have great time eating, drinking, and even swimming, while waiting for the sun to set.
Suggested places to go for a drink: EL SQUID ROE; CABO WABO.