Challenge someone to a game of pool in a bar, and after the game the player can keep the cue as a weapon. Though it is an effective meleé weapon, the player cannot sprint, because of the pool cue's length. The Pool Cue will replace any meleé weapon the player has.
Blueberry, Red County - In front of a small restaurant. From the entrance of The Well Stacked Pizza Co., head east and through the four-way intersection. Continue until the next intersection, which should be a three-way, has been reached. At the northeast part of this intersection, look for a small restaurant. The Pool Cue is just north of the entrance.
Doherty, San Fierro - Underneath a fallen part of the building on the west side of the construction site north of the Doherty Garage. From the the Driving School, go north and turn west when you reach the construction site. Continue west and up the hill into the construction site. Continue west and should encounter a still-standing portion of a building with the floor drooping down. Underneath this fallen floor is the Pool Cue (and a Flamethrower).
Rockshore East, Las Venturas - In the middle of the industrial complex (by the dumpster) at Rockshore East. From the Rockshore West Safehouse, head north through the intersection and turn east at the road curve. Continue east and turn north at the next road curve. Continue north and turn east at the next road curve. Continue forward, cross the railroad tracks, and enter the industrial complex. Just off to the left is some sheltered parking. Go to the east end of the sheltered parking area. Once there, look for a beige building off to the left. There is a dumpster at the southwest corner of this building. The Pool Cue is next to this dumpster.
In GTA IV, the pool cue is in fact been categorized as a weapon alongside other melee weapons but the use of the pool cue as a weapon was dropped during development. The pool cue may still be used to play pool but cannot be used outside the game, even though it's a functional weapon.
In The Lost and Damned, however, a halfed version of the pool cue can be used as a weapon. Additionally, pool can still be played. However, it disappears from the player's inventory whenever a race is started, as the player is given a baseball bat. Also, the pool cue has no dodging animation which only allows the player to block attacks and also makes it impossible to do melee counters in a fight. Another downside is that the pool cue can't be found in multiplayer.