In "the States," it is generally acceptable to go out to the bars on Friday and/or Saturday and do the normal American thing. In St. Andrews, however, you can find people out at the pubs every night of the week, if you're determined enough. Tuesday, Thursday and Friday are the big nights, as far as I have been able to tell.
In our town you can find any sort of pub you fancy. The Raisin, a favorite of my friends, has the feel of "someone's basement," as one of them described it. It's the closest to us on this end of town. There's also the Victoria Cafe, or the Vic as it's known, which is a little bit more lounge-y with a danceclub vibe on Tuesdays, when they have 1 pound drink specials. The Gin House has those specials on Thursdays, when it's "Back to Skool" night and some people dress like Catholic schoolgirls (and boys). The Gin House is, as far as I can tell, the biggest of the pubs in town. If you want dancing and a mixed crowd of locals, golfers and students, there's always the Lizard Lounge at the Inn on North Street, where you can gawk at the terrible dancing or participate in it yourself. Here's a picture from my night last night at the Lizard:

I think most of them were locals and golfers last night. If you're a student, the night usually ends at the Student Union, where there is usually a "Bop" (or a dance). The Union has the latest license in town, which is usually 1 a.m. or 2 a.m. on weekends. Things generally shut down pretty early here. And after that, if you're lucky enough to escape by 2, there's always chips and cheese at Empire.