The Shadowhunters follow a shapeshifter into a nightclub past Clary and her friends, and then she follows them inside and sees them kill the demons in episode 1x01 "The Mortal Cup". Dot heads here to enlist Magnus's help but he flees through a portal in episode 1x02 "The Descent Into Hell Is Easy".
Felix goes inside the club that Olivier owns in episode 1x07 "Parts Developed in an Unusual Manner". Beth goes to the club to investigate the cheek-less body found in the woods in episode 4x01 "The Collapse of Nature". Sarah heads to the club to find evidence leading to MK in episode 4x02 "Transgressive Border Crossing".