One of the places that we were told we absolutely HAD to go to was The Sunset Pier in Mallory Square. I believe our guide's exact words were, "You're doing yourself a disservice if you don't visit this place every night". We missed our chance to go the first night, but did end up making it a few nights later in the week, and I have to say we were not disappointed. The food was fantastic, they always had a little band playing and, as you can see from the shots on this post, the views were absolutely breathtaking.
Every night that we went provided even prettier views than the last. This place was like something out of a movie where two star-crossed lovers would meet after being apart for many years, only to have the guy drop to one knee and propose on the spot. I'm actually surprised we didn't see any proposals while we were there. People even clapped when the sun had set, as if the sun was actually putting on a performance!