I've only been to Cancun once, with the then wife and we didn't go to the red light district, but one thing that was a lot of fun was the "Booze Cruise", they load you on a boat, bring you to a place where they feed you and entertain you, all the while, the wonderful friendly staff, brings you as much alcohol as you can handle
It's been a couple of years since I've been there, I'm not sure if it's still the same, but I really enjoyed that part of the trip.