I have spent many a happy night in Cologne. There are a number of places to visit but by far the best is Club Pascha.
en.wikipedia.org/wiki/Pascha_(brothel)
It is a purpose built, 12 story building with 100's of ladies working there.
By far the best option is to explore the VIP area on the top floor. It is very pricey (can't remember just how much).
My best time there was during the soccer world cup. I was hosted by a client and we ended spending about 36 hours in the VIP section. They have a jacuzzi on the roof and we watched the sun rise over Germany with a number of ladies at our disposal.
On the regular floors you walk the passage and find someone you like. All the ladies sit on chairs outside their rooms.
Unless it is your thing just stay off the transvestite floor.
Happy punting - please give feedback