Being in self-imposed exile from Grantham (but returning to see the parents when I have to) I can comment reasonably on the Grantham pub/club situation.
Clubs: they're all shite beyond belief. If you want a late drink, like people have said, head for Que Pasa. A bit poo, but it's the best available.
Town pubs: bit better off here. If you're looking for cheap beer, the Tollemache opposite the Post Office is an ok Wetherspoon's. Goose at the Bank on the High Street is ok as well. For modern, stylish, forget it, though again Que Pasa may come close. Good old man pubs are the Blue Pig near the church (new landlord seemed ok last time I was there); heard good things about the Marquis of Granby in the Market Place (it used to be rough as hell); Beehive in Castlegate was where I did most of my underage drinking, but now attracts people who have to shave, so may be worth a look.
Village pubs: much better served with these. Personal favourites are the Houblon Arms in Oasby and Stag in Barkston; guarenteed proper (free) bar snacks in both, plus decent beer, and no worries about staying post-11pm.