Try the Adega da Marina on the Avenida. Their kitchen stays open till around 01:00 a.m. This where we go when we get back to Lagos late if we've been to Seville or Lisbon.
Address:
Avenida dos Descobrimentos, nº 35
8600 Lagos – Algarve
Half way along the Avenida.
Google Maps link here:
http://maps.google.com/maps/ms?hl=en&ie=UTF8&msa=0&msid=105031136029483985880.0004727e5603e39684dbe&ll=37.106272,-8.674237&spn=0.002019,0.004823&t=h&z=18