That's an excellent question! It deserves it's own thread, really.
Me, I tend to leave the Zona after my session. I hate staying in the Zona any longer than I have to in order to get my needs met. I don't want to drink there because it messes with my sexual performance. Plus, I don't want to have an endless array of waiters and desperate BGs constantly harassing me. I do enjoy one of the of the area taco stands but I prefer not to attempt a serious meal in one of the worst parts of a seedy (in part) place like TJ. And, I hate strip club shows. I can only tolerate them for 15 minutes before I get bored or sexually frustrated.
I prefer a break of at least a few hours between sex acts. Sometimes, I just want one quality call girl experience then I split town. Nothing better than a surgical strike in TJ.
Here are some ideas. This is not an exhaustive list. The proviso is do not leave Zona/Revolucion on your own and not in a safe taxi if you don't speak at least basic functional Spanish and don't stand out too much.
1) Go to Avenida Revolucion and window shop, if it is early. I have actually found some cool shit there. Cuban cigars, good booze cheap, prescription meds, even folk art and home furnishings.
2) Go out for a nice meal (by taxi). There are plenty of tasty restaurants not far from the Zona. Check other threads for details on where. Come back to the Zona an hour or two later recharged.
3) Go to Caliente and play the sports book or a few casino hands. I'm not a high roller but I may spend up to $100 that way. Sometimes it really pays off and I manage to finance the trip at the casino. If you have a gambling problem or don't like to gamble this is not for you. For me, at least, the gambling and whoring make it an even more cool trip.
4) (For the under 35 crowd) hit the non P4P clubs and try to score legitimate tail. A variety of both local and USA tail is in town at the clubs. That shit can work! It is cool to walk into a legit club full of drunk horny chicks with a bold sense of self-confidence because you know if you don't score you can go back to the Zona for a sure thing.
5) Go back Stateside, to eat, make phone calls, go to the outlet mall, make a run for condoms, or the all important ATM stop. This only works well during off hours where the border wait is less than 20 minutes.
6) Go to VivaMex for a legitimate massage. For under $50 you can have a very nice massage and an overall good legitimate spa experience. This is also a great stop when you are leaving TJ with the added bonus of being a great chance to shower and clean up before you head home (married or LTR guys understand this well).
7) Recon. If I do stay in the Zona I will go check out the off the beaten path clubs or clubs I don't frequent and survey the BGs/SGs about rates, sex acts, etc. I never order drinks or sit down in this mode. If I order anything it is bottled water. You won't have the waiter/BG issues if you slowly circulate in the room. Be friendly and ask her name first. A little small talk will really help in negotiations. In between clubs I chat up the SGs. I'm sure at least a few of the girls think I am demented because I have spoken to them a number of times but never "gone to the room" with them. Plus, it is a bit tiring to move around the Zona like a damned shark. But, I often find my best experiences through this method. If I discover a hot find but I am still in recovery mode I tell her what time I will come back for her, like in an hour or at 10 pm or whatever. It usually works out.
I hope this helps.