What is good strip club etiquette? If I want a dance from a girl, but she's been sitting with another guy or other strippers, is it okay to approach and ask for a dance?

Not if she's with another guy! I've seen all kinds of problems take place because of a guy approaching a dancer when she was sitting with a customer. Wait until she's on stage, go up to tip her, and when you do let her know you'd like to get a dance from her, or ask one of the waitresses if she could let said dancer know you'd like a dance. (That version works best if you pay the waitress for doing so. Motivation, for real.) If she's sitting with other dancers and there are no customers in sight, go talk to her.

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