What establishment does Wolfsheim prefer?
You can find the answer to this (I think this is what you are asking, at least) in Chapter 4.
In that chapter, Nick Carraway goes to meet Gatsby for lunch at some place on 42nd street in New York City. Gatsby is having lunch with Meyer Wolfsheim. While talking to Nick, Wolfsheim says that he likes the place where they are eating, but he preferst the place across the street. It is a place called The Metropole.
Wolfsheim says The Metropole is hot and small, but is filled with memories. Weirdly, the only one he discusses is when a mobster friend of his was killed while eating there.