An oversimplification:
Lagoa has muscle boys and supermodels, like 117 in Rio. Fragata has everyday, more "approachable"-type Brasileiros like Meio Mundo in Rio. Lagoa is larger and swankier, but Fragata is more intimate. I've had friends that have liked only one or the other, and some that have liked both. But the general consensus is Lagoa is the best of the best in the Americas.
Both are in relatively good, safe neighborhoods for walking to nearby Metros, or taking taxis / catching Ubers. It's possible, but not recommended, to do both in one night, but the driving time would be about 20-30 minutes depending on traffic, and metro times would make them about 45-55 minutes apart from each other. So, in other words, if you want to go to both in one night, take a car between the two.
Best nights for Lagoa: Thursday through Saturday. Best nights for Fragata: Tuesday and Sunday.