Like a regular dance party, but with better music, classier vodka, and trashier sluts.
Gays often crave homosocial spaces. Gay dance parties, or anything queer-centric, offer a brief reprieve from the oft-repressive hetero world. Gay dance parties offer a space where gay men and women (and anyone slightly removed from the hetero/gender-normative spectrum) can let their hair down. Rather than being judged by oppressive heteros, they can be judged by bitchy queens :)
Clubs sometimes hold gay nights a few nights a month, if you're desperate to find a gay dance party. Definitely something to check out.