Try sunlight. That'll give you a fixed setting which will assume a relatively "hot" light source, which will render the more-yellow light sources as yellow in your image. (Conversely, if you shoot actual sunlight in incandescent-wb, you'll get a strong blue cast.)
If your camera (or RAW processing software) allows you to set color temperature in Kelvin, try setting it around 5000, and adjust up and down to find the cast that looks right to you.
Aside: Somewhat unfortunately, the numbers used for color temperatures come from science rather than art, so hotter light is more whitish blue, and cooler light more yellow-red — the opposite of our natural sense of white/blue as cold and red/orange/yellow as warm. Oh well; just more functional jargon to learn. Rather than going into it in much more detail in this answer I'll just point to another couple of questions: What is color temperature and how does it affect my photography? and What is the meaning of "white balance"?, which have good information on the topic already.
Some built-in WB presets will also adjust on a magenta-green scale, which isn't taken into account by color temperature. This is important when photographing under some fluorescent lighting. If you're shooting under high-pressure sodium-vapor lights (like many streetlights), with their characteristic pink-orange glow, you're pretty much out of luck in getting any natural looking balance, because the spectrum is so narrow and strange. In that case, going with a daylight preset and just preserving the odd look may be best. Or, deciding not to worry about it and going to black and white.