On the east side of Shinjuku station, to the north of the Odakyu department store look for the alleyways of Shoniben Yokocho - "Piss Alley"!
Don't let the name put you off - this area has loads of small bars selling yakitori. Choose your own kebabs - chicken, tomatoes, fish, pork, etc and have them barbecued as you listen to the banter from the chefs and barmaids to the passing customers. Beer and lemon bitters to drink with the locals, bags of noise and atmosphere and very cheap!
Nishi-Shinjuku, east of Shinjuku station
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