In my experience, there tends to be one specific type of Entertainment that a unit prefers (dance hall, brewery, rough bar, brothels, whatever). By visiting that type of Entertainment, you can gain a considerable bonus to Cohesion as well as Morale. When you find the right type, the "Your men like this type of Entertainment" message appears next to that type whenever you click the Entertainment option in the future.
But is it possible to have a unit that prefers none of the Entertainment types? My ruler character with a cavalry unit has tried each type of entertainment a half dozen times over the last several months, and cannot find one his troops like to get that Cohesion bonus.