The Hedonist: Baku

I knew my weekend in the capital of Azerbaijan would have, shall we say, a certain Through the Looking Glass potential. Baku is always a tricky one – right from bed booking. Are we feeling a little individualist, bijou and in need of the personal touch? That'd be the Sultan Inn ( sultaninn.com) where 11 rooms offer the ultimate in intimate. Are we having a Russian rock-star moment of lavish ostentation? Step forward The Excelsior ( excelsiorhotelbaku.az), where more is most definitely more.

On our grander days, when service is all, and we expect – nay, need – every little detail attended to, then the grande-dame of the Baku scene, the Hyatt Regency ( baku.regency.hyatt.com), fits the bill admirably. I mean, they even have yoga mats in the suites. Sometimes, though, it's all about the down-home, informal quirk factor – and what could be quirkier than the Caucasian homage to Frank Lloyd Wright that is the American-run Hale Kai (hotelhalekai.com)? Here, relaxed four-star service comes with a three-star price tag – a welcome change, to say the least, in Baku.

Night one's festivities kick off with a sundowner overlooking the bay from the 19th-floor Sky Bar of The Landmark ( thelandmarkhotel.az), surely the most breathtaking view of what must be one of the world's most beautiful cities by night.

Mojitos down, it's off through the throng on the recently renovated Boulevard – the prom built from the profits of the first oil rush, a century ago. The Caspian Sea sparkles to my left, while every fashion brand in Europe glitters seductively, and astonishingly expensively, along Neftchilar Prospekt to my right.

Mind you, that's what credit cards are for, no? New shades swinging in my open-necked shirt, I swagger on to the newly opened Chinar ( chinar-dining.com), where one green-tea-based cocktail leads effortlessly into another. Here, the Chinese-leaning Asian fusion menu is matched only by world-class design.

I manage to drag myself away to the Face Club ( face.az) to catch Moscow's premier hip-hop act, Basta. But about this time the cocktails kick in... and everything is a little blurry until I wake up, shamefully too late for breakfast, in the hotel. No matter, that's what the Ali & Nino Café ( alinino.az) was invented for. Then, a quick jaunt around the Old City and a meltingly, oozingly, almost cloyingly thick demi-tasse of one of the world's great hot chocolates at the Chocolate Café on Boyukgala Street.

At Shikhov Beach, oil rigs loom on the horizon. The beach itself is, well, unique in an oil-riggy kind of way, and very much an experience worth notching up. However, last night's dizzy heights have left me a little woozy, so tonight will be time for a lower-level version. That means a beer among the hoi polloi at the intriguingly shaped Mirvari Café on the Boulevard by the pier, followed by dinner on the terrace at Zeitun (that's Azeri for "olive", by the way) in the new Park Bulvar Centre, right on the Boulevard itself.

Zeitun is a brand-new fine-dining place that is very fine dining indeed. Washing down the gürza (spiced lamb pasta parcels with yoghurt and the freshest herbs imaginable) with a glass of admirable Ganja shiraz really is something every self-respecting foodie should be aiming for.

I swill down the last of the red just in time to hoof it to the Jazz Center ( jazzcenter.jazz.az). Last time I was here it was to hear Al Jarreau and, although the Azeri names on tonight's list are unfamiliar, the experience of hearing a sultry vocalist riff with a scratch DJ will stick with me for some time to come. And in the Caucasus, too: who would have thought it?

Afterwards, I head to Filarmonia Park for a scoop or two of sumptuous Italian ice cream at Dondurma by the Old City Metro – just the thing on these sultry Bakuvian nights. Talk turns to some exciting guest DJ up at the all-new Hezz Club by the TV tower. It seems like a plan and I haven't checked it out yet, but I wonder if I can still make my massage at the Sabun Nga Spa ( sabunngaspa.com) in the morning.

It's the most authentic slice of Thailand the Caucasus could have devised – all the staff and every last iota of interior, style, technique and concept have been flown in from Chiang Mai. To cap it all, your massage is followed by a light Thai lunch prepared by the executive chef and served up in a private dining room.

Too good to risk, surely? Ah, to hell with it. Taxi! Hezz Club, please.

Ben Illis ( benillis.com) is a travel writer and photographer, and the author of Hg2 Baku, which is out now. See hg2.com for more details