I've held off on writing this because I felt stupid, but I feel I should share for the good of the community. I was in Shanghai, in the Xin Tian Di bar and restaurant area, in December and was approached by a woman speaking good english, offering a massage and full service. I tried to blow her off, but she was persistent, and I eventually followed her to a place. Got inside, led to a small room at the top of some stairs, and got what I expected (which was pretty good), but then it went south. Four or five guys came into the room and basically shook me down for 19000 RMB (about $3000 USD). This was after a "discount" of 6000 rmb for being a decent guy, I think. It was clear that I wasn't getting out of there without some sort of pain.
The crazy thing is that I was not ignorant of this scam. I've followed SNG (now defunct) closely, I'm reasonably experiencend, it's been well explained, I'd been warned. My instincts were sending up flares, but when in pursuit of pleasure our head often doesn't stay in control.
The moral ... NEVER follow somebody into a back-alley establishment, no matter how nice, sincere, helpful they are. I felt lucky to get out of there with only that money gone, and not any damage to my body I'd have to explain. Be warned, be safe, be smarter than me.