From the cultural side: the castle is worth a look, the state opera is cheap (£22 for the most expensive ticket), the brewery called U Fleku in the New Town has a cracking beer hall and the rooftop bar of the Hotel U Prince in the Old Town square combines great views and alcohol.
There is a club, just around from the old Secret Police HQ, which is now a Hotel. I cannot remember both names (ask around you'll find it!) but its a Gay/Tranny/Straight bar with a tranny cabaret and lots of cheap booze. It opens late and shuts in the early hours (0500ish) and is good.
Don't for god sakes mention me there. I'd rather forget