Welcome to the forum.
If you are a frequent visitor to SE Asia, especially Pattaya, you are going to find Costa Rica enjoyable but much more "tame". Definitely not as many venues. I do love coming to CR. It's a beautiful country with great people. And I can get there in less than eight hours whereas it is at least 24 hours for me door-to-door to SE Asia.
I have been coming to Costa Rica since 1999 and have been to most every area except for the southwest Pacific coast (Golfito area). The Northwest Pacific (Manuel Antonio, Flamingo, Coco, Tamarindo) and Caribbean beaches (Puerto Viejo area) are incredible and well worth the visit as well as many interior locations like the Monteverde Cloud forest and the Arenal / La Fortuna (volcano) areas. A favorite of mine is white water rafting during the green / rainy season. Lots of great rivers.
That said, the only real areas with much adult entertainment are San Jose and Jaco. The opportunity for fun can be found in most other towns but it is much more difficult to locate. A lot of guys that venture outside of SJ or Jaco take a woman with them.
Jaco itself is really limited to the Cocal Hotel and casino until about 1 am and then various nightclubs after that. I'm really not a huge fan of Jaco as it is very limited and very hot and humid but it does have more sunshine than San Jose and the hotels have pools. There is a beach but it is probably the worst beach in the country. Jaco is much more expensive than San Jose for lodging, food and entertainment, but the food is much better overall. If you go visit Tsunami Sushi. Pretty expensive but the seafood is fresh off the boat.
San Jose has many places to visit. Massage Parlors / Pensiones in the daytime, bars and nightclubs (strip joints) in the evening. Read the Bar section of the forum for details. Many people say the scene in SJ is dying but I have never gone out and not found company to my liking.
As far as a rental car, I would personally ditch it. In downtown San Jose you really don't need it as the city would be pretty much impossible for a newbie to navigate, the traffic sucks and the there is nowhere to park except for paylots. Taxis are plentiful and relatively cheap for short trips and Uber is active and very inexpensive for the longer hauls. The roads outside of San Jose, except for a few expressways are pretty terrible.
In Jaco you really don't need a car as everything is pretty much on the main drag running along the shore. Also, you really don't want to be caught drunk driving. The penalties are harsh and the justice system is pretty draconian.
I have heard that many of the rental care companies will try to scam you into paying for pre-existing vehicle damage. If you do rent, be sure you are adequately covered with a Collision damage waiver or you credit card covers it.
Travel between cities can be accomplished relatively cheaply. Public buses are very cheap but not real comfortable. Determining the right route will take some study / research. Shared vans like interbus aren't too expensive. They usually provide door-to-door service. If there is more than one of you traveling then a private van or taxi might be appropriate. There are a couple of transport companies that advertise on this forum. Finally, you can look at the regional airlines (Sansa and Nature Air). You can sometimes find great deals on flights within Costa Rica. What would be a four hour drive turns into a 30 minute flight.
If you do insist on staying with a rental car, consider staying at the Sportsmens or the Amistad. I believe they have free parking available.
Enjoy your trip.
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