There's a massive 5 level night club right by the Charles Bridge. Find a friendly Nigerian, way overpay for shitty ecstasy, and party until 6 am.
Also, I took a tour of the Prague Underground around the main square that was fairly neat. There's catacombs or whatever you want to call them under and around the main square the buildings around it. I only partied the one night, so I didn't check out any of the other clubs or strip joints and the like, so I can't really offer much advice. The 5 layer club as we called it was pretty awesome, but maybe that was the MDMA talking.