I like the Boro (for the long, fun sets the Features usually play there) and the Exit/In and Blue Kats (for the incredible sound). But my favorite is still the End (though like Keith said, I think their days of playing there are over). The End is more rock'n'roll than you and me and all of our friends put together. It's loud. It usually sounds great. It's a shithole. It only serves beer. The Features have always seemed to kick the intensity up a notch when they've played there.
Relevant: Prince, PT Anderson, Punk, Post-Punk, Purple, Party of Five, Peter Swanson, Peter Gabriel-led Genesis, "Peter Panic", Paul's Boutique, Potential Energy, Every Features MB member but me.