The Dolphin
Right by the harbour wall is full of character and has a great jukebox!
Barn Club
The Barn Club - 1 mile out of town near the Tesco supermarket - free buses run on Friday & Saturday nights from most pubs in town - just follow the drunk people. Worth visiting once in your life, but get it whilst it remains hot; there are plans to turn this popular dancing venue into a strip club.
Penzance and the surrounding area have a large number of pubs. Particularly good is the Turk's Head in Chapel Street.
Late night drinking is normally confined to the towns 2 night clubs which are normally open until 3-4am at the weekend:
Club 2000
Near the train station, sometimes live music and big name djs, lots catering for the ecstasy culture.
Live music sometimes happens at the Acorn Theatre, and theres an excellent monthly comedy night there as well.