Everyone's heard of the Copacabana. It's one of the world's most famous city beaches. It's four kms of surprisingly spotless wide white sand. It's relatively cheap and has some outrageous nightclubs! The locals are very friendly and there's always a lively atmosphere. There are plenty of places to stay here and some fine restaurants.
Copacabana is the home of "futevolei" (foot volley ball). If you're too tired to join in, just watch. It can be quite hilarious sometimes; great entertainment.
Unfortunately, theft can be a problem sometimes. Use common sense - no flashy watches, jewellery, or cameras etc...