When in Cienfuegos, it's practically obligatory to go to Club Cienfuegos, if not for the cuisine (it's state-run) then for the wedding-cake architecture, sunset views and bygone yacht-club ambience.
That said, there are plenty of food options here: Bar la Terraza for cocktails and beer; El Marinero, a smart sea-level establishment for snacks and light lunches; and the top-floor Restaurante Café Cienfuegos, a more refined, adventurous place where the steak or paella almost emulate the food in a private restaurant.