It depends on what you want to get noticed for.
If you are going out just to have fun with your friends, wear sensible shoes, bring a warm coat and dance when your friends dance. If a guy wants to buy you a drink, let him.
If you are going out to get a couple of phone numbers, wear heels, bring a warm coat but wear a flattering dress under it, and dance when you see hot guys on the dance floor. If a guy wants to buy you a drink, let him and talk him up a little bit.
If you are going out because you want sex by midnight, wear platform heels, leave the coat at home and show a ton of skin, and dance on every surface in the bar. If a guy wants to but you a drink, make out with him.
Good luck out there!