I think you skipped "what the law has to say" in your list.

Let's see how important it is with a simple test. In this hypothetical, OP wore a dress and was denied services at a club.

OP: I was discriminated against because I wore a dress. They are violating my rights. I need protection under laws.

Club Management (through their lawyer): We have a strict non-discrimination policy, put our staff through appropriate industry standard training, and investigate every claim. No one on our staff witnessed this and we couldn't find any evidence to support a claim of discrimination. We turn people away from our door daily due to capacity reasons, if they seem too intoxicated, or for any other reason as we reserve the right to refuse service. Our staff members never discriminate against LGBTQ customers. Here is proof of our gay friendly events, nights where we have gay customers, and similar.

OP: I was definitely discriminated against! My friend Larry saw it all.

Larry: OP was definitely discriminated against. I saw it all.

Club Management (through their lawyer): As we are unable to substantiate this claim and have investigated to the best of our ability following best legal practices, we request that this claim be dismissed.

Judge: Dismissed.

The only thing that matters is what is in writing and what you can prove. Your word isn't nothing, but it is almost nothing. If you have staff members at the establishment, video recordings, audio recordings, a formal ban from the establishment on paper, or even social media posts from third parties who saw it all, you've got something. Without that, it is your word vs. theirs and they are a licensed business with a lawyer and money to pay for that lawyer.

tl;dr Unless OP has money to pay for a lawyer (in the hypothetical), it is unlikely this goes anywhere. Lawyers take some cases for a percentage of the judgement/settlement, but that depends on proof. The proof that OP does not have any of.