Uh... I just wanted to know if you gain anything from the girls at Madame Lil's brothel... That is apart from the sudden black screen & total depletion of your sex err... fatigue bar ?
I returned Cassie's necklace ; is there any other quest from her ?

P.S : A sheep's fine too ;)

You don't get any stat perks or anything like that. Just the quest rewards (the money, or items if you keep them/steal them back from Madam Lil). It is sort of just another chance for role playing, either with a male or female character (because that is one of the areas of the game where that choice actually matters).

Edit: oops, you were also asking if there were other quests from there: yes, there are a bunch actually. I forget exactly what the right dialogue options are with Madam Lil, but you talk to her to get more quests basically.

yes.
The funny dialogue afterwards, I paid all of them just to find out the different lines XD
Madam Lil gives out several quests for you, just through the dialogue options

There's also the barman to talk to, especially when you're drunk.

Well, every job you do for Madame Lil raises her disposition slightly whether you take money or a girl as payment. Get it high enough and seek out her training, and she'll tell you where to locate the master trainer for persuasion as well as roughly when in the plot to seek him out. She also tells you about the sewer dungeons in Tarant, in the process of giving you the quest for one of the most useful magic items in the game which you can either keep or give to her and later steal. Furthermore, her brothel is the unacknowledged social hub of Tarant. Kill her or one of her girls, and pretty much all of Tarant will hear about it and get pissed off even if noone actually witnesses it. Madame Lil's also adds a chance to get a... Unique reputation modifier. Also, it's a great way to make cash early on, though getting the payment in cash response as a male character can be kind of tricky and may require downloading the unofficial arcanum patch mod.