Sala Apolo is probably one of the best venues in town. Mixing concerts with weekend club nights and the always packed Nasty Mondays, Apolo consistently books good names in all genres. It's a bit on the expensive side, but then most venues and clubs here are.
If rock's your thing, check the program during the week. For the finest in club music, check out regular clubs Nitsa and Numbers, usually on weekends. For good drunken fun, Nasty Mondays and it's sister Crappy Tuesdays keeps'em comin back for more.
Look out for flyers across town for discounted entrance. Borrow / beg / steal a Primavera Sound card for free entrance for Nitsa's club nights.