The Milwaukee area has a large amount of bars and clubs, so some place is almost always hopping. The city has everything from a gothic scene at Club Anything to a little bit of Ireland at Mo's Irish Pub, which also serves food with its spirits. There isn't a huge rave scene in Milwaukee, but there are places to go dancing and have a good time.
Milwaukee is also home to several comedy clubs. Comedy Sportz is similar to "Whose Line Is It Anyway?" and offers a wide variety of shows during the day and night. It is cheap entertainment, with most shows costing around $5, which is great for students on budgets. Also, they have midnight shows every Saturday night dubbed the "Adult Show," where the comedy becomes more risqué. Like many other aspects of Milwaukee, if you want a specific type of nightlife, the city probably has it.