The World Bar in Kings Cross on a Wednesday night is great! They have really cool cocktails served in teapots, and as the night goes on the back room opens up to a dance floor with a really low ceiling. It has a relatively relaxed atmosphere so smart casual is in order. Otherwise Scary Canary in Town Hall is known for its Scary Thursdays, this place does mainly attract backpackers however they have a fantastic eclectic music taste and entry is free. Additionally there are the Ivy Pool Club Thursdays happening each week if your willing to spend the extra dollar on entry, drinks and dressing up. Pool Club Thursdays are definitely an escape from the typical indoor nightclubs and offer a more relaxed and fun ambiance I would liken to a nightspot in Ibiza (still on my bucket list to go to one of these!). They mainly play house music and european electronic here.
I'm not much of a club person, I prefer pubs and bars! To that end there is always somewhere interesting to go around Newtown and Erskineville. Favourite bars are The Hive (Erskineville), Wagaya Tapas (Newtown), Black Sheep (Newtown) and Mary's (Newtown).
If you're a late partier, there are several great underground spots in the CBD including Frankie's Pizza, Baxter Inn and Palmer and Co that are open until lockout.
Agree with World Bar Wednesdays. I can't believe how busy it gets on a week night. Just like a Saturday night! The Eastern at Bondi used to have a good Wednesday night event too. And for the younger ones, it's all about Thursday nights at Greenwood!
The Stoned Crow in Crows Nest is a pub that is popular on weeknights as well as weekends. It has really nice decor, and cheap pub meals, which probably help attract the crowds (an easy dinner, then stay late for a few drinks).