Underground and DC10 are very good, smaller clubs. Underground is also free to get into, which is a bonus and drinks aren't as much a rip-off as in the larger venues. Expect to pay about 6 euros for a beer, less than half what you'd pay elsewhere (shocking, I know). Last year, Craig Richards played there on the Wednesday and Mr C on the Thursday. I think it's the same again in 2005.
Circo Loco at DC10, Monday day is also very good and utter madness. It's 25 euros to get in and drinks are a wee bit pricier than at Underground but again, still cheaper than the likes of Pacha.
Penelope in Ibiza Town also sounds good and is new(ish) for 2005.