Kinda depends why I'm going out. Obviously I don't prefer gay-unfriendly places eitherway, but I can imagine if you were out looking for sex or whatever, gay-friendly could just be kind of annoying if you're still having to figure out who is and who isn't gay.
Like everyone else's responses, I think all places should be gay friendly. I also choose exclusively gay places, as it gives those people who are still in the closet somewhere to go and be themselves, without fear of being judged for wanting to be happy