Ice Skating at Union Square is fun. And also along the waterfront by Pier 39 they do a full firework specatular.Otherwise there is just the normal stuff like shopping, concerts, etc.You might try http://www.sfgate.com and check the entertainment section for other stuff.
I agree, Pier 39 for fireworks.Maybe you guys should try hornblower cruise: a new year eve cruise w/ dinner- very romantic and you get to see the fireworks - by looking up in the sky.try goldstar.com for half off events.